Journal Article

Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors


Thomas A. Severini, Gautam Tripathi

Published Date

31 October 2012


Journal Article

Let Y=μ(X)+ε, where μ is unknown and E[ε|X]≠0 with positive probability but there exist instrumental variables W such that E[ε|W]=0 w.p.1. It is well known that such nonparametric regression models are generally “ill-posed” in the sense that the map from the data to μ is not continuous. In this paper, we derive the efficiency bounds for estimating certain linear functionals of μ without assuming μ itself to be identified.