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Tikhonov regularization for nonparametric instrumental variable estimators

  • Gagliardini, Patrick
  • Scaillet, Olivier

We study a Tikhonov Regularized (TiR) estimator of a functional parameter identified by conditional moment restrictions in a linear model with both exogenous and endogenous regressors. The nonparametric instrumental variable estimator is based on a minimum distance principle with penalization by the norms of the parameter and its derivatives. After showing its consistency in the Sobolev norm and uniform consistency under an embedding condition, we derive the expression of the asymptotic Mean Integrated Square Error and the rate of convergence. The optimal value of the regularization parameter is characterized in two examples. We illustrate our theoretical findings and the small sample properties with simulation results. Finally, we provide an empirical application to estimation of an Engel curve, and discuss a data driven selection procedure for the regularization parameter.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 167 (2012)
Issue (Month): 1 ()
Pages: 61-75

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Handle: RePEc:eee:econom:v:167:y:2012:i:1:p:61-75
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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