relation: https://publications.ut-capitole.fr/id/eprint/50406/ title: One-step smoothing splines instrumental regression creator: Beyhum, Jad creator: Lapenta, Elia creator: Lavergne, Pascal subject: B- ECONOMIE ET FINANCE description: We extend nonparametric regression smoothing splines to a context where there is endogeneity and instrumental variables are available. Unlike popular existing estimators, the resulting estimator is one-step and relies on a unique regularization parameter. We derive rates of the convergence for the estimator and its first derivative, which are uniform in the support of the endogenous variable. We also address the issue of imposing monotonicity in estimation and extend the approach to a partly linear model. Simulations confirm the good performances of our estimator compared to two-step procedures. Our method yields economically sensible results when used to estimate Engel curves. publisher: Elsevier date: 2024 type: Article type: PeerReviewed identifier: Beyhum, Jad , Lapenta, Elia and Lavergne, Pascal (2024) One-step smoothing splines instrumental regression. The Econometrics Journal. relation: http://tse-fr.eu/pub/130306 relation: 10.1093/ectj/utae024 identifier: 10.1093/ectj/utae024 doi: 10.1093/ectj/utae024 language: en