Nonparametric Instrumental Regression - HAL Access content directly
Journal articles Econometrica Year : 2011

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.
Loading...

Dates and versions

halshs-00677716, version 1 (09-03-2012)

Identifiers

Cite

Serge Darolles, Jean-Pierre Florens, Yanqin Fan, Eric Renault. Nonparametric Instrumental Regression. Econometrica, 2011, 79 (5), pp.1541-1565. ⟨10.3982/ECTA6539⟩. ⟨halshs-00677716⟩
140 View
0 Download
Last update date on 5/12/24
How are these indicators produced

Altmetric

Share

Gmail Facebook Twitter LinkedIn More