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Nonparametric Instrumental Regression

Abstract : 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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Contributor : Serge Darolles Connect in order to contact the contributor
Submitted on : Friday, March 9, 2012 - 12:39:30 PM
Last modification on : Friday, January 14, 2022 - 8:18:05 AM

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Serge Darolles, Jean-Pierre Florens, Yanqin Fan, Eric Renault. Nonparametric Instrumental Regression. Econometrica, Econometric Society, 2011, 79 (5), pp.1541-1565. ⟨10.3982/ECTA6539⟩. ⟨halshs-00677716⟩



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