Working Paper

Nonparametric identification and estimation with non-classical errors-in-variables


Kirill Evdokimov, Andrei Zeleneev

Published Date

8 April 2024


Working Paper (CWP06/24)

This paper considers nonparametric identification and estimation of the regression function when a covariate is mismeasured. The measurement error need not be classical. Employing the small measurement error approximation, we establish nonparametric identification under weak and easy-to-interpret conditions on the instrumental variable. The paper also provides nonparametric estimators of the regression function and derives their rates of convergence.