Smooth coefficient models with endogenous environmental variables
针对非参数部分含内生变量的结构半参数平滑系数模型，提出了三步估计法，并开发了检验内生性的残差检验统计量，通过蒙特卡洛模拟验证了有限样本性能，最后应用于公共福利与私人储蓄关系研究。
We develop a three-step, oracle-efficient estimator for a structural semiparametric smooth coefficient model with endogenous variables in the nonparametric part of the model. We use a control function approach, combined with both series and kernel estimators to obtain consistent and asymptotically normal estimators of the functions and their partial derivatives. We develop a residual-based test statistic for testing endogeneity, and demonstrate the finite sample performance of our estimators, as well as our test, via Monte Carlo simulations. Finally, we develop an application of our estimator to the relationship between public benefits and private savings.