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)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_ECT
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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, 2006. "Instrumental regression in partially linear models," CORE Discussion Papers 2006025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- P. Gagliardini & O. Scaillet, 2006. "Tikhonov Regularization for Functional Minimum Distance Estimators," Swiss Finance Institute Research Paper Series 06-30, Swiss Finance Institute, revised Nov 2006.
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:27:y:2011:i:03:p:472-496_00. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.