EconPapers    
Economics at your fingertips  
 

On rate optimality for ill-posed inverse problems in econometrics

Xiaohong Chen () and Markus Reiss

No CWP20/07, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

In this paper, we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and nonparametric instrumental variables (NPIV) regression models. We establish minimax risk lower bounds in mean integrated squared error loss for the NPIR and the NPIV models under two basic regularity conditions that allow for both mildly ill-posed and severely ill-posed cases.We show that both a simple projection estimator for the NPIR model, and a sieve minimum distance estimator for the NPIV model,can achieve the minimax risk lower bounds, and are rate-optimal uniformly over a large class of structure functions, allowing for mildly ill-posed and severely ill-posed cases.

JEL-codes: C14 C30 (search for similar items in EconPapers)
Date: 2007-09-10
New Economics Papers: this item is included in nep-ecm
References: Add references at CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://cemmap.ifs.org.uk/wps/cwp2007.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to cemmap.ifs.org.uk:80 (No such host is known. )

Related works:
Journal Article: ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS (2011) Downloads
Working Paper: On Rate Optimality for Ill-posed Inverse Problems in Econometrics (2007) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:20/07

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().

 
Page updated 2025-03-19
Handle: RePEc:ifs:cemmap:20/07