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Identification and Estimation by Penalization in Nonparametric Instrumental Regression

  • Florens, Jean-Pierre
  • Johannes, Jan
  • Van Bellegem, Sébastien

The nonparametric estimation of a regression function x from conditional moment restrictions involving instrumental variables is considered. The rate of convergence of penalized estimators is studied in the case where x is not identified from the conditional moment restriction. We also study the gain of modifying the penalty in the estimation, considering for instance a Sobolev-type of penalty. We analyze the effect of this modification on the rate of convergence of the estimator and on the identification of the regression function x.

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Paper provided by Toulouse School of Economics (TSE) in its series TSE Working Papers with number 09-076.

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Date of creation: Aug 2009
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Handle: RePEc:tse:wpaper:22276
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  1. 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.
  2. 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.
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