OAW

Non Parametric Instrumental Regression

Darolles, Serge, Fan, Yanqin, Florens, Jean-Pierre and Renault, Eric (2003) Non Parametric Instrumental Regression. IDEI Working Paper, n. 228

WarningThere is a more recent version of this item available.
[img]
Preview
Text
Download (351kB) | Preview
Official URL: http://tse-fr.eu/pub/1034

Abstract

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

Item Type: Monograph (Working Paper)
Language: English
Date: 2003
JEL codes: C14 - Semiparametric and Nonparametric Methods
C30 - General
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 18 Jan 2012 05:50
Last Modified: 07 Mar 2018 13:21
OAI ID: oai:tse-fr.eu:1034
URI: http://publications.ut-capitole.fr/id/eprint/1859

Available Versions of this Item

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year