Orthogonal polynomials for seminonparametric instrumental variables model

DOI10.1051/PS/2014025MaRDI QIDQ2786482zbMATH OpenOpenAlexFDO

Authors Neşe Yildiz, Yevgeniy Kovchegov

Publication date 12 February 2016

Published in European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.1620

zbMATH Keywords

instrumental variablesnonparametric identificationorthogonal polynomialssemiparametric methodsStein's method

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Nonparametric estimation (62G05)

Abstract: We develop an approach that resolves a {it polynomial basis problem} for a class of models with discrete endogenous covariate, and for a class of econometric models considered in the work of Newey and Powell (2003), where the endogenous covariate is continuous. Suppose $X$ is a $d$-dimensional endogenous random variable, $Z_1$ and $Z_2$ are the instrumental variables (vectors), and $$. Now, assume that the conditional distributions of $X$ given $Z$ satisfy the conditions sufficient for solving the identification problem as in Newey and Powell (2003) or as in Proposition 1.1 of the current paper. That is, for a function $pi(z)$ in the image space there is a.s. a unique function $g(x,z_1)$ in the domain space such that ${\displaystyle }$E[g(X,Z_1)~|~Z]=pi(Z) qquad Z-a.s.${\displaystyle }$ In this paper, for a class of conditional distributions $X|Z$, we produce an orthogonal polynomial basis $Q_j(x,z_1)$ such that for a.e. $Z_1=z_1$, and for all $jinmathbb{Z}_{+}^d$, and a certain $mu(Z)$, ${\displaystyle }$P_j(mu(Z))=E[Q_j(X, Z_1)~|~Z ],${\displaystyle }$ where $P_j$ is a polynomial of degree $j$. This is what we call solving the {it polynomial basis problem}. Assuming the knowledge of $X|Z$ and an inference of $pi(z)$, our approach provides a natural way of estimating the structural function of interest $g(x,z_1)$. Our polynomial basis approach is naturally extended to Pearson-like and Ord-like families of distributions.

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