Non Parametric Instrumental Regression
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- S. Darolles & Y. Fan & J. P. Florens & E. Renault, 2011. "Nonparametric Instrumental Regression," Econometrica, Econometric Society, vol. 79(5), pages 1541-1565, September.
- Serge Darolles & Jean-Pierre Florens & Eric Renault, 2000. "Nonparametric Instrumental Regression," Working Papers 2000-17, Center for Research in Economics and Statistics.
- DAROLLES, Serge & FLORENS, Jean-Pierre & RENAULT, Éric, 2002. "Nonparametric Instrumental Regression," Cahiers de recherche 2002-05, Universite de Montreal, Departement de sciences economiques.
- Serge Darolles & Jean-Pierre Florens & Yanqin Fan & Eric Renault, 2011. "Nonparametric Instrumental Regression," Post-Print halshs-00677716, HAL.
References listed on IDEAS
- Frédérique Fève & Jean-Pierre Florens, 2010.
"The practice of non-parametric estimation by solving inverse problems: the example of transformation models,"
Econometrics Journal, Royal Economic Society, vol. 13(3), pages 1-27, October.
- Fève, Frédérique & Florens, Jean-Pierre, 2009. "The Practice of Non Parametric Estimation by Solving Inverse Problems: The Example of Transformation Models," TSE Working Papers 10-169, Toulouse School of Economics (TSE).
- Fève, Frédérique & Florens, Jean-Pierre, 2009. "The Practice of Non Parametric Estimation by Solving Inverse Problems: The Example of Transformation Models," IDEI Working Papers 615, Institut d'Économie Industrielle (IDEI), Toulouse.
- Chen, Xiaohong & Reiss, Markus, 2011.
"On Rate Optimality For Ill-Posed Inverse Problems In Econometrics,"
Econometric Theory, Cambridge University Press, vol. 27(3), pages 497-521, June.
- Xiaohong Chen & Markus Reiss, 2007. "On Rate Optimality for Ill-posed Inverse Problems in Econometrics," Cowles Foundation Discussion Papers 1626, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Markus Reiss, 2007. "On rate optimality for ill-posed inverse problems in econometrics," CeMMAP working papers CWP20/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Guido W. Imbens & Whitney K. Newey, 2009.
"Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity,"
Econometrica, Econometric Society, vol. 77(5), pages 1481-1512, September.
- Guido W. Imbens & Whitney K. Newey, 2002. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," NBER Technical Working Papers 0285, National Bureau of Economic Research, Inc.
- Whitney Newey & Guido Imbens, 2004. "Identification and Estimation of Triangular Simultaneous Equations Models without Additivity," Econometric Society 2004 North American Summer Meetings 594, Econometric Society.
- JOHANNES, Jan & VAN BELLEGHEM, Sébastien & VANHEMS, Anne, 2007. "A unified approach to solve ill-posed inverse problems in econometrics," LIDAM Discussion Papers CORE 2007083, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Amemiya, Takeshi, 1975. "The nonlinear limited-information maximum- likelihood estimator and the modified nonlinear two-stage least-squares estimator," Journal of Econometrics, Elsevier, vol. 3(4), pages 375-386, November.
- Whitney K. Newey & Fushing Hsieh & James M. Robins, 2004. "Twicing Kernels and a Small Bias Property of Semiparametric Estimators," Econometrica, Econometric Society, vol. 72(3), pages 947-962, May.
- Joel L. Horowitz, 2007. "Asymptotic Normality Of A Nonparametric Instrumental Variables Estimator," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(4), pages 1329-1349, November.
- Richard Blundell & Joel L. Horowitz, 2007.
"A Non-Parametric Test of Exogeneity,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1035-1058.
- Richard Blundell & Joel L. Horowitz, 2004. "A nonparametric test of exogeneity," CeMMAP working papers 15/04, Institute for Fiscal Studies.
- Richard Blundell & Joel L. Horowitz, 2004. "A nonparametric test of exogeneity," CeMMAP working papers CWP15/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Florens, Jean-Pierre & Johannes, Jan & Van Bellegem, Sébastien, 2011.
"Identification And Estimation By Penalization In Nonparametric Instrumental Regression,"
Econometric Theory, Cambridge University Press, vol. 27(3), pages 472-496, June.
- FLORENS, Jean-Pierre & JOHANNES, Jan & VAN BELLEGEM, Sébastien, 2007. "Identification and estimation by penalization in nonparametric instrumental regression," LIDAM Discussion Papers CORE 2007085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Florens, Jean-Pierre & Johannes, Jan & Van Bellegem, Sébastien, 2009. "Identification and Estimation by Penalization in Nonparametric Instrumental Regression," TSE Working Papers 09-076, Toulouse School of Economics (TSE).
- Amemiya, Takeshi, 1974. "The nonlinear two-stage least-squares estimator," Journal of Econometrics, Elsevier, vol. 2(2), pages 105-110, July.
- Imbens, Guido W & Angrist, Joshua D, 1994.
"Identification and Estimation of Local Average Treatment Effects,"
Econometrica, Econometric Society, vol. 62(2), pages 467-475, March.
- Joshua D. Angrist & Guido W. Imbens, 1995. "Identification and Estimation of Local Average Treatment Effects," NBER Technical Working Papers 0118, National Bureau of Economic Research, Inc.
- Abadie, Alberto, 2003. "Semiparametric instrumental variable estimation of treatment response models," Journal of Econometrics, Elsevier, vol. 113(2), pages 231-263, April.
- Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
- 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, June.
- FLORENS, Jean-Pierre & JOHANNES, Jan & VAN BELLEGEM, Sébastien, 2006. "Instrumental regression in partially linear models," LIDAM Discussion Papers CORE 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.
- 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).
- Joel L. Horowitz & Sokbae Lee, 2007.
"Nonparametric Instrumental Variables Estimation of a Quantile Regression Model,"
Econometrica, Econometric Society, vol. 75(4), pages 1191-1208, July.
- Joel L. Horowitz & Sokbae (Simon) Lee, 2006. "Nonparametric instrumental variables estimation of a quantile regression model," CeMMAP working papers CWP09/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Carrasco, Marine & Florens, Jean-Pierre, 2011.
"A Spectral Method For Deconvolving A Density,"
Econometric Theory, Cambridge University Press, vol. 27(3), pages 546-581, June.
- Carrasco, Marine & Florens, Jean-Pierre, 2002. "Spectral Method for Deconvolving a Density," IDEI Working Papers 138, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2009.
- Hansen, Bruce E., 2008. "Uniform Convergence Rates For Kernel Estimation With Dependent Data," Econometric Theory, Cambridge University Press, vol. 24(3), pages 726-748, June.
- Jean-Pierre Florens & Anna Simoni, 2012. "Regularized Posteriors in Linear Ill-Posed Inverse Problems," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 39(2), pages 214-235, June.
- Florens, J.P. & Mouchart, M. & Rolin, J.M., 1993. "Noncausality and Marginalization of Markov Processes," Econometric Theory, Cambridge University Press, vol. 9(2), pages 241-262, April.
- 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.
- Rothe, Christoph, 2010. "Nonparametric estimation of distributional policy effects," Journal of Econometrics, Elsevier, vol. 155(1), pages 56-70, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Frédérique Fève & Jean-Pierre Florens, 2010.
"The practice of non-parametric estimation by solving inverse problems: the example of transformation models,"
Econometrics Journal, Royal Economic Society, vol. 13(3), pages 1-27, October.
- Fève, Frédérique & Florens, Jean-Pierre, 2009. "The Practice of Non Parametric Estimation by Solving Inverse Problems: The Example of Transformation Models," TSE Working Papers 10-169, Toulouse School of Economics (TSE).
- Fève, Frédérique & Florens, Jean-Pierre, 2009. "The Practice of Non Parametric Estimation by Solving Inverse Problems: The Example of Transformation Models," IDEI Working Papers 615, Institut d'Économie Industrielle (IDEI), Toulouse.
- Asin, Nicolas & Johannes, Jan, 2016. "Adaptive non-parametric instrumental regression in the presence of dependence," LIDAM Discussion Papers ISBA 2016015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Gagliardini, Patrick & Scaillet, Olivier, 2012. "Tikhonov regularization for nonparametric instrumental variable estimators," Journal of Econometrics, Elsevier, vol. 167(1), pages 61-75.
- Centorrino, Samuele & Florens, Jean-Pierre, 2021. "Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors," Econometrics and Statistics, Elsevier, vol. 17(C), pages 35-63.
- Xiaohong Chen & Victor Chernozhukov & Sokbae Lee & Whitney K. Newey, 2014.
"Local Identification of Nonparametric and Semiparametric Models,"
Econometrica, Econometric Society, vol. 82(2), pages 785-809, March.
- Xiaohong Chen & Victor Chernozhukov & Sokbae Lee & Whitney Newey, 2011. "Local Identification of Nonparametric and Semiparametric Models," Cowles Foundation Discussion Papers 1795, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Victor Chernozhukov & Sokbae (Simon) Lee & Whitney K. Newey, 2012. "Local identification of nonparametric and semiparametric models," CeMMAP working papers 37/12, Institute for Fiscal Studies.
- Xiaohong Chen & Victor Chernozhukov & Sokbae (Simon) Lee & Whitney K. Newey, 2011. "Local identification of nonparametric and semiparametric models," CeMMAP working papers 17/11, Institute for Fiscal Studies.
- Xiaohong Chen & Victor Chernozhukov & Sokbae Lee & Whitney Newey, 2011. "Local Identification of Nonparametric and Semiparametric Models," Cowles Foundation Discussion Papers 1795R, Cowles Foundation for Research in Economics, Yale University, revised Nov 2012.
- Xiaohong Chen & Victor Chernozhukov & Sokbae (Simon) Lee & Whitney K. Newey, 2011. "Local identification of nonparametric and semiparametric models," CeMMAP working papers CWP17/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Victor Chernozhukov & Sokbae (Simon) Lee & Whitney K. Newey, 2012. "Local identification of nonparametric and semiparametric models," CeMMAP working papers CWP37/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chen, Xiaohong & Pouzo, Demian, 2009.
"Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals,"
Journal of Econometrics, Elsevier, vol. 152(1), pages 46-60, September.
- Chen, Xiaohong & Pouzo, Demian, 2008. "Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals," Working Papers 38, Yale University, Department of Economics.
- Xiaohong Chen & Demian Pouzo, 2008. "Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals," Cowles Foundation Discussion Papers 1640R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2009.
- Xiaohong Chen & Demian Pouzo, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP20/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Demian Pouzo, 2008. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP09/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Pereda-Fernández, Santiago, 2023.
"Identification and estimation of triangular models with a binary treatment,"
Journal of Econometrics, Elsevier, vol. 234(2), pages 585-623.
- Santiago Pereda Fernández, 2019. "Identification and estimation of triangular models with a binary treatment," Temi di discussione (Economic working papers) 1210, Bank of Italy, Economic Research and International Relations Area.
- Florens, Jean-Pierre & Simoni, Anna, 2012.
"Nonparametric estimation of an instrumental regression: A quasi-Bayesian approach based on regularized posterior,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 458-475.
- Florens, Jean-Pierre & Simoni, Anna, 2010. "Nonparametric Estimation of An Instrumental Regression: A Quasi-Bayesian Approach Based on Regularized Posterior," TSE Working Papers 10-176, Toulouse School of Economics (TSE).
- Jean-Pierre Florens & Anna Simoni, 2012. "Nonparametric estimation of an instrumental regression: A quasi-Bayesian approach based on regularized posterior," Post-Print hal-00922877, HAL.
- Jean-Pierre Florens & Anna Simoni, 2012. "Nonparametric estimation of an instrumental regression: A quasi-Bayesian approach based on regularized posterior," Post-Print hal-03089888, HAL.
- Florens, Jean-Pierre & Simoni, Anna, 2010. "Nonparametric Estimation of An Instrumental Regression: A Quasi-Bayesian Approach Based on Regularized Posterior," IDEI Working Papers 622, Institut d'Économie Industrielle (IDEI), Toulouse.
- Escanciano, Juan Carlos & Li, Wei, 2021.
"Optimal Linear Instrumental Variables Approximations,"
Journal of Econometrics, Elsevier, vol. 221(1), pages 223-246.
- Juan Carlos Escanciano & Wei Li, 2018. "Optimal Linear Instrumental Variables Approximations," Papers 1805.03275, arXiv.org, revised Feb 2020.
- Xiaohong Chen & Demian Pouzo, 2012.
"Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals,"
Econometrica, Econometric Society, vol. 80(1), pages 277-321, January.
- Xiaohong Chen & Demian Pouzo, 2008. "Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals," Cowles Foundation Discussion Papers 1650R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2009.
- Xiaohong Chen & Demian Pouzo, 2008. "Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals," Cowles Foundation Discussion Papers 1650RR, Cowles Foundation for Research in Economics, Yale University, revised Jan 2011.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013.
"Program evaluation with high-dimensional data,"
CeMMAP working papers
CWP77/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2015. "Program evaluation with high-dimensional data," CeMMAP working papers 55/15, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2014. "Program evaluation with high-dimensional data," CeMMAP working papers CWP33/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers 57/13, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2015. "Program evaluation with high-dimensional data," CeMMAP working papers CWP55/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2014. "Program evaluation with high-dimensional data," CeMMAP working papers 33/14, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers 77/13, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers CWP57/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Florens, Jean-Pierre & Johannes, Jan & Van Bellegem, Sébastien, 2011.
"Identification And Estimation By Penalization In Nonparametric Instrumental Regression,"
Econometric Theory, Cambridge University Press, vol. 27(3), pages 472-496, June.
- FLORENS, Jean-Pierre & JOHANNES, Jan & VAN BELLEGEM, Sébastien, 2007. "Identification and estimation by penalization in nonparametric instrumental regression," LIDAM Discussion Papers CORE 2007085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Florens, Jean-Pierre & Johannes, Jan & Van Bellegem, Sébastien, 2009. "Identification and Estimation by Penalization in Nonparametric Instrumental Regression," TSE Working Papers 09-076, Toulouse School of Economics (TSE).
- Fabian Dunker, 2015. "Adaptive estimation for some nonparametric instrumental variable models," Papers 1511.03977, arXiv.org, revised Aug 2021.
- Hiroaki Kaido & Kaspar Wüthrich, 2021.
"Decentralization estimators for instrumental variable quantile regression models,"
Quantitative Economics, Econometric Society, vol. 12(2), pages 443-475, May.
- Hiroaki Kaido & Kaspar Wuthrich, 2018. "Decentralization Estimators for Instrumental Variable Quantile Regression Models," Papers 1812.10925, arXiv.org, revised Sep 2020.
- Hiroaki Kaido & Kaspar Wüthrich, 2018. "Decentralization estimators for instrumental variable quantile regression models," CeMMAP working papers CWP72/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Kaido, Hiroaki & Wüthrich, Kaspar, 2021. "Decentralization estimators for instrumental variable quantile regression models," University of California at San Diego, Economics Working Paper Series qt362921wv, Department of Economics, UC San Diego.
- Hiroaki Kaido & Kaspar Wüthrich, 2019. "Decentralization estimators for instrumental variable quantile regression models," CeMMAP working papers CWP42/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Feve, Frederique & Florens, Jean-Pierre & Van Keilegom, Ingrid, 2012. "Estimation of conditional ranks and tests of exogeneity in nonparametric nonseparable models," LIDAM Discussion Papers ISBA 2012036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Kaspar W thrich, 2015. "Semiparametric estimation of quantile treatment effects with endogeneity," Diskussionsschriften dp1509, Universitaet Bern, Departement Volkswirtschaft.
- Centorrino Samuele & Feve Frederique & Florens Jean-Pierre, 2017.
"Additive Nonparametric Instrumental Regressions: A Guide to Implementation,"
Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-25, January.
- Samuele Centorrino & Frederique Feve & Jean-Pierre Florens, 2017. "Additive Nonparametric Instrumental Regressions: A Guide to Implementation," Department of Economics Working Papers 17-06, Stony Brook University, Department of Economics.
- Victor Chernozhukov & Christian Hansen & Kaspar Wuthrich, 2020. "Instrumental Variable Quantile Regression," Papers 2009.00436, arXiv.org.
- Xiaohong Chen & Yingyao Hu, 2006. "Identification and Inference of Nonlinear Models Using Two Samples with Arbitrary Measurement Errors," Cowles Foundation Discussion Papers 1590, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Demian Pouzo, 2015.
"Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models,"
Econometrica, Econometric Society, vol. 83(3), pages 1013-1079, May.
- Xiaohong Chen & Demian Pouzo, 2013. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," Cowles Foundation Discussion Papers 1897RR, Cowles Foundation for Research in Economics, Yale University, revised Nov 2014.
- Xiaohong Chen & Demian Pouzo, 2014. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," CeMMAP working papers CWP38/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Demian Pouzo, 2013. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," Cowles Foundation Discussion Papers 1897R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2014.
- Xiaohong Chen & Demian Pouzo, 2014. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," Papers 1411.1144, arXiv.org, revised Mar 2015.
More about this item
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ide:wpaper:1034. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/idtlsfr.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.