EconPapers    
Economics at your fingertips  
 

Nonparametric instrumental variable estimation under monotonicity

Denis Chetverikov and Daniel Wilhelm

Papers from arXiv.org

Abstract: The ill-posedness of the inverse problem of recovering a regression function in a nonparametric instrumental variable model leads to estimators that may suffer from a very slow, logarithmic rate of convergence. In this paper, we show that restricting the problem to models with monotone regression functions and monotone instruments significantly weakens the ill-posedness of the problem. In stark contrast to the existing literature, the presence of a monotone instrument implies boundedness of our measure of ill-posedness when restricted to the space of monotone functions. Based on this result we derive a novel non-asymptotic error bound for the constrained estimator that imposes monotonicity of the regression function. For a given sample size, the bound is independent of the degree of ill-posedness as long as the regression function is not too steep. As an implication, the bound allows us to show that the constrained estimator converges at a fast, polynomial rate, independently of the degree of ill-posedness, in a large, but slowly shrinking neighborhood of constant functions. Our simulation study demonstrates significant finite-sample performance gains from imposing monotonicity even when the regression function is rather far from being a constant. We apply the constrained estimator to the problem of estimating gasoline demand functions from U.S. data.

Date: 2015-07
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1507.05270 Latest version (application/pdf)

Related works:
Journal Article: Nonparametric Instrumental Variable Estimation Under Monotonicity (2017) Downloads
Working Paper: Nonparametric instrumental variable estimation under monotonicity (2017) Downloads
Working Paper: Nonparametric instrumental variable estimation under monotonicity (2016) Downloads
Working Paper: Nonparametric instrumental variable estimation under monotonicity (2015) 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:arx:papers:1507.05270

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2020-04-02
Handle: RePEc:arx:papers:1507.05270