Inferences for a Partially Varying Coefficient Model With Endogenous Regressors
提出一类新的半参数工具变量模型，其中结构函数为部分线性形式且内生变量的影响随外生变量变化；开发了三步估计法和广义F检验，并通过模拟和两个经济实例验证了有限样本性能。
In this article, we propose a new class of semiparametric instrumental variable models with partially varying coefficients, in which the structural function has a partially linear form and the impact of endogenous structural variables can vary over different levels of some exogenous variables. We propose a three-step estimation procedure to estimate both functional and constant coefficients. The consistency and asymptotic normality of these proposed estimators are established. Moreover, a generalized F-test is developed to test whether the functional coefficients are of particular parametric forms with some underlying economic intuitions, and furthermore, the limiting distribution of the proposed generalized F-test statistic under the null hypothesis is established. Finally, we illustrate the finite sample performance of our approach with simulations and two real data examples in economics.