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In recent years, econometricians extended §instrumental variable models, a standard approach to §regression with endogeneity, to non/semi-parametric §settings. However, when the endogenous variables are §continuous, such models are exposed to ill-posed §problems. Working from a different assumption, this §book considers estimation of non/semi-parametric §instrumental variables models under a functional §coefficient form. Under this representation, models §are linear in the endogenous components with either §constant or unknown functional coefficients. Due to §the linearity, the models avoid the ill-posed §problems and at the same time retain the flexibility §of the regression function. This study constructs §the constant and functional coefficients estimators §and proves their consistency and asymptotic §normality. The high practical power of these §estimators is illustrated via Monte Carlo §simulations and an application to labor statistics. §The book provides a more efficient way for §researchers and practitioners to analyze economic §data with endogenous variables utilizing non/semi-§parametric models.
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