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Non Parametric Models with Instrumental Variables

Listed author(s):
  • Florens, Jean-Pierre
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    This paper gives a survey of econometric models characterized by a relation between observable and unobservable random elements where these unobservable terms are assumed to be independent of another set of observable variables called instrumental variables. This kind of specification is usefull to address the question of endogeneity or of selection bias for example. These models are treated non parametrically and in all the example we consider the functional parameter of interest is defined as the solution of a linear or non linear integral equation. The estimation procedure then requires to solve a (generally ill-posed) inverse problem. We illustrate the main questions (construction of the equation, identification, numerical solution, asymptotic properties, selection of the regularization parameter) by the different models we present.

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    Paper provided by Institut d'Économie Industrielle (IDEI), Toulouse in its series IDEI Working Papers with number 618.

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    Date of creation: Jun 2010
    Publication status: Published in dans Inverse Problems and High-Dimensional Estimation, sous la direction de Pierre Alquier, Eric Gautier et Gilles Stoltz, chapitre 2, Springer Verlag, Berlin, 2011, p. 99-120.
    Handle: RePEc:ide:wpaper:22806
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