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arXiv · 2403.11309

Nonparametric Identification and Estimation with Non-Classical Errors-in-Variables

Kirill S. Evdokimov·Andrei Zeleneev
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Abstract

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.

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Kirill S. Evdokimov, Andrei Zeleneev. 2024-03-17. Nonparametric Identification and Estimation with Non-Classical Errors-in-Variables. https://arxiv.org/abs/2403.11309

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