
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.
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
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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