eprintid: 48208
rev_number: 4
eprint_status: archive
userid: 1482
importid: 105
dir: disk0/00/04/82/08
datestamp: 2023-09-15 14:16:55
lastmod: 2023-09-15 14:16:55
status_changed: 2023-09-15 14:16:55
type: monograph
metadata_visibility: show
creators_name: Beyhum, Jad
creators_name: Lapenta, Elia
creators_name: Lavergne, Pascal
creators_idrefppn: 255581564
creators_idrefppn: 255142803
creators_idrefppn: 177855533
creators_affiliation: Toulouse School of Economics; Université Toulouse Capitole
creators_halaffid: 1002422
creators_halaffid: 1002422
title: One-step nonparametric instrumental regression using smoothing splines
ispublished: pub
subjects: subjects_ECO
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.
date: 2023-08
date_type: published
publisher: TSE Working Paper
official_url: http://tse-fr.eu/pub/128467
faculty: tse
divisions: tse
keywords: Instrumental variables
keywords: Nonparametric regression
keywords: Smoothing splines
language: en
has_fulltext: TRUE
view_date_year: 2023
full_text_status: public
monograph_type: working_paper
series: TSE Working Paper
volume: 23-1467
place_of_pub: Toulouse
pages: 30
institution: Université Toulouse Capitole
department: Toulouse School of Economics
book_title: TSE Working Paper
oai_identifier: oai:tse-fr.eu:128467
harvester_local_overwrite: department
harvester_local_overwrite: pending
harvester_local_overwrite: creators_idrefppn
harvester_local_overwrite: creators_halaffid
harvester_local_overwrite: institution
harvester_local_overwrite: place_of_pub
harvester_local_overwrite: pages
oai_lastmod: 2023-09-13T06:40:31Z
oai_set: tse
site: ut1
citation:   Beyhum, Jad <https://www.idref.fr/255581564>, Lapenta, Elia <https://www.idref.fr/255142803> and Lavergne, Pascal <https://www.idref.fr/177855533>  (2023) One-step nonparametric instrumental regression using smoothing splines.  TSE Working Paper, n. 23-1467, Toulouse     
document_url: https://publications.ut-capitole.fr/id/eprint/48208/1/wp_tse_1467.pdf