Distribution of residuals in the nonparametric IV model with application to separability testing

Babii, Andrii and Florens, Jean-Pierre (2017) Distribution of residuals in the nonparametric IV model with application to separability testing. TSE Working Paper, n. 17-802, Toulouse

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Official URL: http://tse-fr.eu/pub/31686

Abstract

We develop a uniform asymptotic expansion for the empirical distribution function of residuals in the nonparametric IV regression. Such expansion opens a door for construction of a broad range of residual-based specification tests in nonparametric IV models. Building on obtained result, we develop a test for the separability of unobservables in econometric models with endogeneity. The test is based on verifying the independence condition between residuals of the NPIV estimator and the instrument and can distinguish between the non-separable and the separable specification under endogeneity.

Item Type: Monograph (Working Paper)
Language: English
Date: May 2017
Place of Publication: Toulouse
Uncontrolled Keywords: separability test, distribution of residuals, nonparametric instrumental regression, Sobolev scales
JEL codes: C12 - Hypothesis Testing
C14 - Semiparametric and Nonparametric Methods
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 16 May 2017 10:22
Last Modified: 07 Mar 2018 13:24
OAI ID: oai:tse-fr.eu:31686
URI: http://publications.ut-capitole.fr/id/eprint/24048

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