Additive Nonparametric Instrumental Regressions: A Guide to Implementation

Samuele Centorrino, Frederique Feve and Jean-Pierre Florens

Department of Economics Working Papers from Stony Brook University, Department of Economics

Abstract: We present a review on the implementation of regularization methods for the estimation of additive nonparametric regression models with instrumental variables. We consider various versions of Tikhonov, Landweber-Fridman and Sieve (Petrov-Galerkin) regularization. We review data-driven techniques for the sequential choice of the smoothing and the regularization parameters. Through Monte-Carlo simulations, we discuss the finite sample properties of each regularization method for different smoothness properties of the regression function. Finally, we present an application to the estimation of the Engel curve for food in a sample of rural households in Pakistan, where a partially linear specification is described that allows one to embed other exogenous covariates.

Date: 2017
New Economics Papers: this item is included in nep-ecm, nep-ind, nep-ino and nep-ipr
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Citations: View citations in EconPapers (18)

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Journal Article: Additive Nonparametric Instrumental Regressions: A Guide to Implementation (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:nys:sunysb:17-06

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