Identification and estimation by penalization in nonparametric instrumental regression

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

No 2007085, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

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

Keywords: instrumental variable; nonparametric estimation; ill-posed inverse problem; identification; penalized estimator; Tikhonov regularization; Sobolev norm (search for similar items in EconPapers)
JEL-codes: C14 C30 (search for similar items in EconPapers)
Date: 2007-10-01
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://sites.uclouvain.be/core/publications/coredp/coredp2007.html (application/pdf)

Related works:
Journal Article: IDENTIFICATION AND ESTIMATION BY PENALIZATION IN NONPARAMETRIC INSTRUMENTAL REGRESSION (2011)
Working Paper: Identification and Estimation by Penalization in Nonparametric Instrumental Regression (2009)
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:cor:louvco:2007085

Access Statistics for this paper

More papers in LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().