Asymptotic properties of endogeneity corrections using nonlinear transformations
研究了无需外部工具变量、基于非线性变换的内生性修正方法的渐近性质，允许外生回归元与内生变量相关，并证明了估计量的一致性、渐近正态性和自助法的有效性。
Summary This paper studies the asymptotic properties of endogeneity corrections based on nonlinear transformations without external instruments, which were originally proposed by Park and Gupta (2012) and have become popular in applied research. In contrast to the original copula-based estimator, our approach is based on a nonparametric control function and does not require a conformably specified copula. Moreover, we allow for exogenous regressors, which may be (linearly) correlated with the endogenous regressor(s). We establish consistency, asymptotic normality, and validity of the bootstrap for the unknown model parameters. An empirical application on wage data of the US Current Population Survey demonstrates the usefulness of the method.