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Inferences for a Partially Varying Coefficient Model With Endogenous Regressors

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  • Zongwu Cai
  • Ying Fang
  • Ming Lin
  • Jia Su

Abstract

In this article, we propose a new class of semiparametric instrumental variable models with partially varying coefficients, in which the structural function has a partially linear form and the impact of endogenous structural variables can vary over different levels of some exogenous variables. We propose a three-step estimation procedure to estimate both functional and constant coefficients. The consistency and asymptotic normality of these proposed estimators are established. Moreover, a generalized F-test is developed to test whether the functional coefficients are of particular parametric forms with some underlying economic intuitions, and furthermore, the limiting distribution of the proposed generalized F-test statistic under the null hypothesis is established. Finally, we illustrate the finite sample performance of our approach with simulations and two real data examples in economics.

Suggested Citation

  • Zongwu Cai & Ying Fang & Ming Lin & Jia Su, 2019. "Inferences for a Partially Varying Coefficient Model With Endogenous Regressors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(1), pages 158-170, January.
    • Handle: RePEc:taf:jnlbes:v:37:y:2019:i:1:p:158-170
    DOI: 10.1080/07350015.2017.1294079
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    Cited by:

    1. Zhang, Hong-Fan, 2021. "Iterative GMM for partially linear single-index models with partly endogenous regressors," Computational Statistics & Data Analysis, Elsevier, vol. 156(C).
    2. Ma, Chaoqun & Mi, Xianhua & Cai, Zongwu, 2020. "Nonlinear and time-varying risk premia," China Economic Review, Elsevier, vol. 62(C).
    3. Bai, Rui & Lin, Boqiang & Liu, Xiying, 2021. "Government subsidies and firm-level renewable energy investment: New evidence from partially linear functional-coefficient models," Energy Policy, Elsevier, vol. 159(C).
    4. Fukang Zhu & Mengya Liu & Shiqing Ling & Zongwu Cai, 2020. "Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202021, University of Kansas, Department of Economics, revised Dec 2020.
    5. Zhu, Junpeng & Lin, Boqiang, 2022. "Resource dependence, market-oriented reform, and industrial transformation: Empirical evidence from Chinese cities," Resources Policy, Elsevier, vol. 78(C).

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