Applied Nonparametric Instrumental Variables Estimation

Frontmatter of Econometrica Vol. 79 Iss. 2 ......Page 1 Backmatter of Econometrica Vol. 79 Iss. 2......Page 3 Introduction......Page 6 Summary of Recent Literature......Page 8 The Control Function Model......Page 9 The Difference Between Parametric and Nonparametric Methods......Page 10 Identification......Page 12 Background From Functional Analysis......Page 14 The Ill-Posed Inverse Problem......Page 16 Avoiding Estimation of Higher-Order Generalized Fourier Coefficients: The Role of Smoothness......Page 20 Estimation of g in Model (1.1)-(1.2)......Page 21 Extension to Model (1.3)-(1.4)......Page 26 Testing a Parametric Model Against a Nonparametric Alternative......Page 28 Testing the Hypothesis That g(x,z) Does Not Depend on x......Page 29 Estimating an Engel Curve......Page 31 The Effect of Class Size on Students' Performances on Standardized Tests......Page 32 Identification and Estimation of g......Page 35 An Empirical Example......Page 38 Appendix......Page 40 Outline of Proof of (4.9)......Page 41 Asymptotic Properties of the tau n Test......Page 45 References......Page 51 Author's Addresses......Page 53 Introduction......Page 54 Setup......Page 58 Limiting Problem......Page 59 Class of Models and Tests......Page 61 Main Result......Page 64 Discussion......Page 66 Consistently Estimable Nuisance Parameters......Page 73 Invariance......Page 74 Uniformity......Page 77 Unit Root Tests With Stationary Covariates......Page 79 Linear Regression With Weak Instruments......Page 82 GMM Parameter Stability Tests......Page 84 Appendix......Page 85 References......Page 91 Author's Addresses......Page 94 Introduction......Page 95 Equivalence Result......Page 99 Semiparametric Functional Restrictions......Page 103 References......Page 108 Author's Addresses......Page 110 Introduction......Page 111 Theory of Model Confidence Sets......Page 112 Empirical Analysis of Inflation Forecasts and Taylor Rules......Page 113 General Theory for Model Confidence Set......Page 115 The MCS Algorithm and Its Properties......Page 116 Coherency Between Test and Elimination Rule......Page 118 MCS p-Values......Page 120 Quadratic-Form Test......Page 121 Tests Constructed From t-Statistics......Page 123 MCS for Regression Models......Page 125 MCS by Kullback-Leibler Divergence......Page 126 The MCS Procedure......Page 128 Issues Related to the Comparison of Nested Models......Page 130 Relation to Existing Multiple Comparisons Methods......Page 131 Relationship to Tests for Superior Predictive Ability......Page 132 Aspects of Parameter Uncertainty and Forecasting......Page 133 Simulation Results......Page 134 Simulation Experiment I......Page 135 Simulation Experiment II: Regression Models......Page 139 U.S. Inflation Forecasts: Stock and Watson (1999) Revisited......Page 141 Likelihood-Based Comparison of Taylor-Rule Models......Page 146 Summary and Concluding Remarks......Page 151 References......Page 152 Author's Addresses......Page 155 Introduction......Page 156 The Main Idea......Page 159 Partial Orders, Lattices, and Semilattices......Page 163 A Class of Bayesian Games......Page 164 The Main Result......Page 168 Sufficient Conditions for Nonempty and Join-Closed Sets of Monotone Best Replies......Page 170 Applications......Page 173 Uniform-Price Multi-Unit Auctions With Risk-Averse Bidders......Page 175 Discriminatory Multi-Unit Auctions With CARA Bidders......Page 181 Price Competition With Nonsubstitutes......Page 183 Type Spaces With Atoms......Page 186 Proof of Theorem 4.1......Page 187 Appendix......Page 190 Partially Ordered Probability Spaces......Page 191 The Space of Monotone Functions From T Into A......Page 193 Locally Complete Metric Semilattices......Page 201 Sufficient Conditions for G.1-G.5......Page 203 Proofs From Section 5......Page 204 References......Page 209 Author's Addresses......Page 210 Introduction......Page 211 The Environment......Page 216 Market Interactions and General Equilibrium......Page 219 Equilibrium Contracts......Page 221 Discussion of Assumptions......Page 224 Further Comparative Statics......Page 226 General Equilibrium......Page 230 Ex ante Investments and Effort- versus Skill-Intensive Labor......Page 234 Labor Scarcity and the Returns to Investment in Guns......Page 237 Interim Participation Constraints......Page 238 Trade in Slaves......Page 241 Concluding Remarks......Page 242 Equilibrium Contracts and Partial Equilibrium Comparative Statics......Page 244 Existence of General Equilibrium......Page 249 General Equilibrium Comparative Statics......Page 250 References......Page 254 Author's Addresses......Page 256 Introduction......Page 257 Distancing......Page 258 Our Model......Page 259 Summary of Contributions......Page 260 The Model......Page 261 Foundations: Axioms......Page 263 Standard Axioms......Page 264 Main Axioms......Page 265 Main Theorem......Page 267 Special Cases......Page 269 Foundations for Normative Preference......Page 270 Perspective and Related Literature......Page 271 Comparison of Dynamic Behavior......Page 272 Comparison of Static Behavior......Page 273 Comparison of Primitives......Page 274 Proof Outline for Theorem 4.1......Page 275 A Result: Foundations for Sophistication......Page 276 Proof Outline for Main Theorem......Page 277 Set-Betweenness......Page 279 Concluding Remarks......Page 280 Appendix A: Proof of Theorem 6.1......Page 281 Appendix C: Normative Preference......Page 282 Properties of Normative Preference *......Page 284 Properties of Normative Menu Preference......Page 285 Structure on V and Rationalizability......Page 287 Appendix E: Proof of Theorem 4.3......Page 295 Appendix F: Proof of Theorem 4.7......Page 298 References......Page 299 Author's Addresses......Page 300 Announcements ......Page 301 Forthcoming Papers ......Page 304