FLORENS, Jean-Pierre JOHANNES, Jan VAN BELLEGEM, SŽbastien (UniversitŽ catholique de Louvain (UCL). Center for Operations Research and Econometrics (CORE))
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The nonparametric estimation of a regression function x from conditional moment restrictions involving instrumental variables is considered. The rate of convergence of penalized estimators is studied in the case where x is not identified from the conditional moment restriction. We also study the gain of modifying the penalty in the estimation, considering for instance a Sobolev-type of penalty. We analyze the effect of this modification on the rate of convergence of the estimator and on the identification of the regression function x.
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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number
2007085.
Find related papers by JEL classification: C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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