IDENTIFICATION AND ESTIMATION BY PENALIZATION IN NONPARAMETRIC INSTRUMENTAL REGRESSION

Jean-Pierre Florens, Jan Johannes and Sebastien Van Bellegem ()

Econometric Theory, 2011, vol. 27, issue 3, 472-496

Abstract: The nonparametric estimation of a regression function from conditional moment restrictions involving instrumental variables is considered. The rate of convergence of penalized estimators is studied in the case where the regression function is not identified from the conditional moment restriction. We also study the gain of modifying the penalty in the estimation, considering derivatives in the penalty. We analyze the effect of this modification on the identification of the regression function and the rate of convergence of its estimator.

Date: 2011
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Working Paper: Identification and estimation by penalization in nonparametric instrumental regression (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:27:y:2011:i:03:p:472-496_00

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