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Nonparametric Instrumental Regression

Nonparametric instrumental regression
Authors: Darolles, Serge; Fan, Yanqin; Florens, Jean-Pierre; Renault, Eric;

Nonparametric Instrumental Regression

Abstract

Summary: The focus of this paper is the nonparametric estimation of an instrumental regression function \(\varphi\) defined by conditional moment restrictions that stem from a structural econometric model \(E[Y - \varphi (Z)|W]=0\), and involve endogenous variables \(Y\) and \(Z\) and instruments \(W\). The function \(\varphi\) 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.

Country
France
Keywords

instrumental variables, 330, kernel smoothing, Tikhonov regularization, Economie financière, Instrumental variables, ill-posed problem, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, 332, integral equation, C30, C14, Nonparametric regression and quantile regression, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, Nonparametric estimation, B- ECONOMIE ET FINANCE, jel: jel:C30, jel: jel:C14

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    selected citations
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    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    175
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    Top 1%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
175
Top 1%
Top 1%
Top 1%
bronze
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INRAE