Nonparametric Instrumental Regression
Abstract
The focus of this paper is the nonparametric estimation of an instrumental regression function f defined by conditional moment restrictions that stem from a structural econometric model E[Y − f (Z) | W] = 0, and involve endogenous variables Y and Z and instruments W. The function f is the solution of an ill-posed inverse problem and we propose an estimation procedure based on Tikhonov regularization. The paper analyzes identification and overidentification of this model, and presents asymptotic properties of the estimated nonparametric instrumental regression function.
Domains
Economics and FinanceSubmission Type | Notice |
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Deposit type | Journal articles |
Abstract |
en
The focus of this paper is the nonparametric estimation of an instrumental regression function f defined by conditional moment restrictions that stem from a structural econometric model E[Y − f (Z) | W] = 0, and involve endogenous variables Y and Z and instruments W. The function f is the solution of an ill-posed inverse problem and we propose an estimation procedure based on Tikhonov regularization. The paper analyzes identification and overidentification of this model, and presents asymptotic properties of the estimated nonparametric instrumental regression function.
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Title |
it
Nonparametric Instrumental Regression
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Authors |
Serge Darolles
1
, Jean-Pierre Florens
2
, Yanqin Fan
3
, Eric Renault
4
1
DRM-Finance
( 400413 )
- France
2
GREMAQ -
Groupe de recherche en économie mathématique et quantitative
( 744 )
- manufacture des tabacs - bat. F 21 Allée de Brienne 31000 TOULOUSE
- France
3
Department of Economics
( 164568 )
- 415 Calhoun Hall Vanderbilt University Nashville, TN 37240
- United States
4
Department of Economics
( 157238 )
- United States
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Audience |
International
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Production date |
2011-09-01
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Journal |
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Peer-reviewed |
Yes
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Fulltext language |
English
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Science popularization |
No
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Publication date |
2011-09-01
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Volume |
79
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Number |
5
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Page number |
1541-1565
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Target audience |
Scientists
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See also |
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Domain |
|
Keywords |
en
integral equation, ill-posed problem, Tikhonov regularization, kernel smoothing, Instrumental variables
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DOI | 10.3982/ECTA6539 |
ProdINRA | 245432 |
UT key WOS | 000295046300006 |
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