Nonparametric instrumental variable derivative estimation

J. P. Florens, Jeffrey Racine and Samuele Centorrino

Journal of Nonparametric Statistics, 2018, vol. 30, issue 2, 368-391

Abstract: The focus of this paper is the nonparametric estimation of the marginal effects (i.e. first partial derivatives) of an instrumental regression function ϕ defined by conditional moment restrictions that stem from a structural econometric model $ E[Y-\varphi (Z)\,|\,W]=0 $ E[Y−ϕ(Z)|W]=0, and involve endogenous variables Y and Z and instruments W. The derivative function $ \varphi ' $ ϕ′ is the solution of an ill-posed inverse problem and we propose an estimation procedure based on Landweber–Fridman regularisation. We provide theoretical underpinnings of the proposed approach, examine finite-sample performance, and consider an illustrative application.

Date: 2018
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Citations: View citations in EconPapers (8)

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DOI: 10.1080/10485252.2018.1428745

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