Reference

Serge Darolles, Yanqin Fan, Jean-Pierre Florens, and Eric Renault, “Non Parametric Instrumental Regression”, IDEI Working Paper, n. 228, 2003, revised 2010.

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.

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