Nonparametric Instrumental Regression
Jean-Pierre Florens
- Fonction : Auteur
- PersonId : 901651
Eric Renault
- Fonction : Auteur
- PersonId : 765822
- ORCID : 0000-0001-5525-812X
Résumé
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.
Domaines
Economies et finances| Format du dépôt | Notice |
|---|---|
| Type de dépôt | Article dans une revue |
| Résumé |
en
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.
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| Titre |
it
Nonparametric Instrumental Regression
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| Auteur(s) |
Serge Darolles
1
, Jean-Pierre Florens
2
, Yanqin Fan
3
, Eric Renault
4
1
DRM-Finance
( 400413 )
- France
2
GREMAQ -
Groupe de recherche en économie mathématique et quantitative
( 744 )
- manufacture des tabacs - bat. F 21 Allée de Brienne 31000 TOULOUSE
- France
3
Department of Economics
( 164568 )
- 415 Calhoun Hall Vanderbilt University Nashville, TN 37240
- États-Unis
4
Department of Economics
( 157238 )
- États-Unis
|
| Audience |
Internationale
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| Date de production/écriture |
2011-09-01
|
| Nom de la revue |
|
| Comité de lecture |
Oui
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| Langue du document |
Anglais
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| Vulgarisation |
Non
|
| Date de publication |
2011-09-01
|
| Volume |
79
|
| Numéro |
5
|
| Page/Identifiant |
1541-1565
|
| Public visé |
Scientifique
|
| Voir aussi |
|
| Domaine(s) |
|
| Mots-clés |
en
integral equation, ill-posed problem, Tikhonov regularization, kernel smoothing, Instrumental variables
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| DOI | 10.3982/ECTA6539 |
| ProdINRA | 245432 |
| UT key WOS | 000295046300006 |
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