Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models, Supplementary Material: Review, Proofs, Extensions and Example of Application

This Supplementary Material contains some of the more technical details omitted from the paper ?Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models?. First, a brief review of the Theory of Generalized Functions is presented. Second, proofs regarding some basic properties of Fourier transforms as well as the asymptotics of the proposed GMMestimator are given. Third, the proposed estimator is compared with the one suggested in Hausman, Newey, Ichimura, Powell (1991). Fourth, an alternative derivation of the moment conditions necessitating weaker regularity conditions is provided. Fifth, the details of the Monte Carlo simulations are described. Sixth, an application of the proposed methodology to the estimation of the black-white income gap is presented. Finally, some computational aspects of the implementation of the estimator are described.

Supplemental Authors: 
Susanne M. Schennach