A note on parametric and nonparametric regression in the presence of endogenous control variables
By: by Markus Frölich
Series: Discussion paper -- no. 2126; Discussion paper (Forschungsinstitut zur Zukunft der Arbeit : Online) -- no. 2126
Publisher: IZA
Published: 2006
Place of publication: Bonn, Germany
Language: eng
Format: [electronic resource] /
Subjects: Regression analysis; Nonparametric statistics
Description: "This note argues that nonparametric regression not only relaxes functional form assumptions vis-a-vis parametric regression, but that it also permits endogenous control variables. To control for selection bias or to make an exclusion restriction in instrumental variables regression valid, additional control variables are often added to a regression. If any of these control variables is endogenous, OLS or 2SLS would be inconsistent and would require further instrumental variables. Nonparametric approaches are still consistent, though. A few examples are examined and it is found that the asymptotic bias of OLS can indeed be very large"--Forschungsinstitut zur Zukunft der Arbeit web site.
Notes: Title from PDF file as viewed on 5/17/2006.

Includes bibliographical references.

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