Efficient Local Polynomial Estimation of Nonparametric Simultaneous Equations Models

joint with Ullah A., November 2008

Abstract: This paper defines a new procedure to consistently estimate nonparametric simultaneousequations models that have been explored by Newy et al (1999) and Su and Ullah (2008). The proposed estimation procedure takes into account the additive structure thus achieves efficiencycompared to Su and Ullah (2008), thus further improved the estimator of Newy et al (1999).Our new estimator achieves the oracle e¢ ciency of the oracle estimator defined in this paper,which is infeasible since it is based on knowledge of all components of the model except for theone of interest. Simulation results show that our new estimator outperforms that of Su andUllah (2008) in terms of Mean Squared Error.

This is my third paper, which is my course work for professor Ullah's Nonparametric lectures. I presented the paper on Jan 16, 2009 in the Econometric Colloquia. It was exciting to present my work on the colloquia with many people asking questions. Actually I was sick then, due to the trip back China from Dec 06, 2008 to Jan 08, 2009. I tried my best and it is a satisfactory one, I think, though not the best. After all, it is my first formal presentation.

I feel deeply thankful for Professor Ullah for both his time and directions through the preparation of the work and many helpful comments. Also, I appreciate Professor Su L. at SMU for his kindness to share with me his code.

See the paper at: Tu and Ullah (2008)
http://www.economics.ucr.edu/seminars/winter09/econometrics/index.html