Centorrino, Samuele, Florens, Jean-Pierre
and Racine, Jeffrey S.
(2018)
Nonparametric instrumental variable derivative estimation.
Journal of Nonparametric Statistics, 30 (2).
pp. 368-391.
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 |
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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: | 02 Apr 2021 15:57 |
OAI Identifier: | oai:tse-fr.eu:32457 |
URI: | https://publications.ut-capitole.fr/id/eprint/25843 |