Average Marginal Effects in One-Step Partially Linear Instrumental Regressions

Abstract

We propose a novel procedure for estimating and conducting inference on average marginal effects in partially linear instrumental regressions using Reproducing Kernel Hilbert Space methods. Our procedure relies on a single regularization parameter. We obtain the consistency and asymptotic normality of our estimator. Since the variance of the limiting distribution has a complex analytical form, we propose a Bayesian bootstrap method to conduct inference and establish its validity. Our procedure is easy to implement and exhibits good finite-sample performance in simulations. Three empirical applications illustrate its implementation on real data, showing that it yields economically meaningful results.

67 pages (body: pages 1-26; appendices: pages 26-67); 8 figures; 5 tables