Nonparametric Instrumental Regression

Serge Darolles, Jean-Pierre Florens and Eric Renault

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

Abstract: The focus of the paper is the nonparametric estimation of an instrumental regression function P defined by conditional moment restrictions stemming from a structural econometric model : E[Y-P(Z)|W]=0 and involving endogenous variables Y and Z and instruments W. The function P 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.

Keywords: instrumental variables; integral equation; ill-sed oblem; Tikhonov regularization; Kernel smoothing (search for similar items in EconPapers)
Pages: 39 pages
Date: 2002
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (88)

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http://hdl.handle.net/1866/373 (application/pdf)

Related works:
Journal Article: Nonparametric Instrumental Regression (2011)
Working Paper: Nonparametric Instrumental Regression (2011)
Working Paper: Non Parametric Instrumental Regression (2010)
Working Paper: Nonparametric Instrumental Regression (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:2002-05

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