Nonparametric Instrumental Regression

Serge Darolles (), Jean-Pierre Florens (), Yanqin Fan and Eric Renault
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Serge Darolles: DRM-Finance - DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Jean-Pierre Florens: GREMAQ - Groupe de recherche en économie mathématique et quantitative - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique
Yanqin Fan: Department of Economics - Vanderbilt University [Nashville]

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Abstract: The focus of this paper is the nonparametric estimation of an instrumental regression function f defined by conditional moment restrictions that stem from a structural econometric model E[Y − f (Z) | W] = 0, and involve endogenous variables Y and Z and instruments W. The function f is the solution of an ill-posed inverse problem and we propose an estimation procedure based on Tikhonov regularization. The paper analyzes identification and overidentification of this model, and presents asymptotic properties of the estimated nonparametric instrumental regression function.

Keywords: integral equation; ill-posed problem; Tikhonov regularization; kernel smoothing; Instrumental variables (search for similar items in EconPapers)
Date: 2011-09-01
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Citations: View citations in EconPapers (158)

Published in Econometrica, 2011, 79 (5), pp.1541-1565. ⟨10.3982/ECTA6539⟩

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Related works:
Journal Article: Nonparametric Instrumental Regression (2011)
Working Paper: Non Parametric Instrumental Regression (2010)
Working Paper: Nonparametric Instrumental Regression (2002)
Working Paper: Nonparametric Instrumental Regression (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00677716

DOI: 10.3982/ECTA6539

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