Non Parametric Instrumental Regression

Serge Darolles, Yanqin Fan, Jean-Pierre Florens and Eric Renault

No 228, IDEI Working Papers from Institut d'Économie Industrielle (IDEI), Toulouse

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

JEL-codes: C14 C30 (search for similar items in EconPapers)
Date: 2003, Revised 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://idei.fr/sites/default/files/medias/doc/wp/2010/dffr140110.pdf Full text (application/pdf)

Related works:
Journal Article: Nonparametric Instrumental Regression (2011)
Working Paper: Nonparametric Instrumental Regression (2011)
Working Paper: Nonparametric Instrumental Regression (2002)
Working Paper: Nonparametric Instrumental Regression (2000)
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:ide:wpaper:1034

Access Statistics for this paper

More papers in IDEI Working Papers from Institut d'Économie Industrielle (IDEI), Toulouse Contact information at EDIRC.
Bibliographic data for series maintained by ().