Tools
Tools
Darolles, Serge
, Fan, Yanqin, Florens, Jean-Pierre and Renault, Eric
(2003)
Non Parametric Instrumental Regression.
IDEI Working Paper, n. 228
Preview |
Text
Download (351kB) | Preview |
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 Classification: | 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: | 02 Apr 2021 15:34 |
| OAI Identifier: | oai:tse-fr.eu:1034 |
| URI: | https://publications.ut-capitole.fr/id/eprint/1859 |
Available Versions of this Item
- Non Parametric Instrumental Regression. (deposited 18 Jan 2012 05:50) [Currently Displayed]
