Nonparametric Two-Stage Estimation of Simultaneous Equations with Limited Endogenous Regressors
提出一种类似两阶段最小二乘的非参数方法，用于估计含有限内生回归变量的联立方程，并以联立删失模型为例说明，再推广到其他情形。
Estimation of simultaneous equations with limited (or transformed) endogenous regressors has been difficult in the parametric literature for various reasons. In this paper, we propose a nonparametric two-stage method that is analogous to two-stage least-squares estimation. A simultaneous censored model is used to illustrate our approach, and then its generalization to other cases is developed. The technical highlight is in handling a nondifferentiable second-stage minimand with an infinite-dimensional first-stage nuisance parameter when the first-stage error is not orthogonal to the second.