Essays in nonparametric instrumental variable regression

Bonev, Petyo

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URN: urn:nbn:de:bsz:180-madoc-393224
Document Type: Doctoral dissertation
Year of publication: 2014
Place of publication: Mannheim
University: Universität Mannheim
Evaluator: Berg, Gerard J. van den
Date of oral examination: 24 September 2014
Publication language: English
Institution: Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSE (Economics)
School of Law and Economics > Alexander v. Humboldt Professor in Econometrics and Empirical Economics (van den Berg 2009-2016)
Subject: 330 Economics
Subject headings (SWD): Datenanalyse , Nichtparametrisches Verfahren , Instrument , Verweildauer
Individual keywords (German): Nichtparametrische Datenanalyse , Instrumente , Verweildauer
Keywords (English): nonparametric instrumental variable methods , duration analysis , policy evaluation , constrained estimation , class size , test score
Abstract: In my PhD thesis, I develop nonparametric instrumental variable methods for two different settings. First, in a duration setup, I develop an approach to deal with dynamic and static selection, two important problems in econometric research. The method can deal with censoring and is based on a comparison of cohorts. I also construct a framework to analyse the static endogeneity of a model. In addition to these identification results, I also provide the necessary estimation procedures and derive their asymptotic properties. Second, I show that a class of constrained penalised minimum distance estimators can be viewed as projections. In a simulation, I study their properties under monotonicity constraint. I construct a test for monotonicity and use it to analyse the effect of class size on test scores in a Minnesota dataset. The effect is revealed to be non-monotone. I suggest an economic approach to explain this result.
Translation of the title: Aufsätze in Instrumentalvariablen-Regressionsanalyse (German)

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