One-step nonparametric instrumental regression using smoothing splines

Jad Beyhum, Elia Lapenta and Pascal Lavergne

No 23-1467, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: We extend nonparametric regression smoothing splines to a context where there is endogeneity and instrumental variables are available. Unlike popular existing es-timators, the resulting estimator is one-step and relies on a unique regularization parameter. We derive uniform rates of the convergence for the estimator and its first derivative. We also address the issue of imposing monotonicity in estimation. Sim-ulations confirm the good performances of our estimator compared to some popular two-step procedures. Our method yields economically sensible results when used to estimate Engel curves.

Keywords: Instrumental variables; Nonparametric regression; Smoothing splines (search for similar items in EconPapers)
Date: 2023-09-13
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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:128467

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