Researches on Semiparametric Model Estimation Method Based on Local Linear Instrumental Variables

Considering the weak instrumental variables, aiming at the solution method of instrumental variables in the semi parametric model, the paper creatively introduces the local linear estimation in the nonparametric estimation into the two-stage instrumental variable estimation, and names it SEMI-LWLR-IV estimation. After which, the paper gives the unbiased and asymptotic normality theorems and their proofs. Then, this paper uses Monte Carlo method to generate data, and uses a new estimation method to fit the generated data. The fitting results show that when the relation between instrumental variables and endogenous variables is linear, the new estimation method is basically consistent with the traditional 2SLS estimation results; When the relation between instrumental variables and endogenous variables are nonlinear, the new method has better properties than the existing methods.