Nonparametric instrumental variable derivative estimation

Centorrino, Samuele, Florens, Jean-Pierre and Racine, Jeffrey S. (2018) Nonparametric instrumental variable derivative estimation. Journal of Nonparametric Statistics, 30 (2). pp. 368-391.

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Official URL: http://tse-fr.eu/pub/32457

Abstract

The focus of this paper is the nonparametric estimation of the marginal effects (i.e. first partial derivatives) of an instrumental regression function ? defined by conditional moment restrictions that stem from a structural econometric model , and involve endogenous variables Y and Z and instruments W. The derivative function is the solution of an ill-posed inverse problem and we propose an estimation procedure based on Landweber–Fridman regularisation. We provide theoretical underpinnings of the proposed approach, examine finite-sample performance, and consider an illustrative application.

Item Type: Article
Language: English
Date: 2018
Refereed: Yes
Place of Publication: Philadelphia
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 22 May 2018 09:08
Last Modified: 24 Jul 2019 09:17
OAI ID: oai:tse-fr.eu:32457
URI: http://publications.ut-capitole.fr/id/eprint/25843

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