Identification And Estimation By Penalization In Nonparametric Instrumental Regression
The nonparametric estimation of a regression function from conditional moment restrictions involving instrumental variables is considered. The rate of convergence of penalized estimators is studied in the case where the regression function is not identified from the conditional moment restriction. We also study the gain of modifying the penalty in the estimation, considering derivatives in the penalty. We analyze the effect of this modification on the identification of the regression function and the rate of convergence of its estimator.
Volume (Year): 27 (2011)
Issue (Month): 03 (June)
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- Florens, Jean-Pierre & Johannes, Jan & Van Bellegem, Sébastien, 2009.
"Instrumental Regression in Partially Linear Models,"
TSE Working Papers
10-167, Toulouse School of Economics (TSE).
- Jean‐Pierre Florens & Jan Johannes & Sébastien Van Bellegem, 2012. "Instrumental regression in partially linear models," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 304-324, 06.
- Florens, Jean-Pierre & Johannes, Jan & Van Bellegem, Sébastien, 2009. "Instrumental Regression in Partially Linear Models," IDEI Working Papers 613, Institut d'Économie Industrielle (IDEI), Toulouse.
- FLORENS, Jean-Pierre & JOHANNES, Jan & VAN BELLEGEM, SÃ©bastien, 2006. "Instrumental regression in partially linear models," CORE Discussion Papers 2006025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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