The Standard Portfolio Choice Problem in Germany

This paper addresses the problem of estimation of a nonparametric regression function from selectively observed data when selection is endogenous. Our approach relies on independence between covariates and selection conditionally on potential outcomes. Endogeneity of regressors is also allowed for. In both cases, consistent two-step estimation procedures are proposed and their rates of convergence are derived. Also pointwise asymptotic distribution of the estimators is established. In addition, we propose a nonparametric specification test to check the validity of our independence assumption. Finite sample properties are illustrated in a Monte Carlo simulation study and an empirical illustration.

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Nonparametric estimation in case of endogenous selection

Breunig

Mammen

Simoni

2018

Journal of Econometrics

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The Standard Portfolio Choice Problem in Germany

Cited by 1 publication

References 12 publications

Nonparametric estimation in case of endogenous selection

Nonparametric estimation in case of endogenous selection

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