Nonparametric instrumental regression

S. Darolles, Y. Fan, J. P. Florens, E. Renault

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Abstract

The focus of this paper is the nonparametric estimation of an instrumental regression function φ{symbol} defined by conditional moment restrictions that stem from a structural econometric model E[Y-φ{symbol}(Z)|W]=0, and involve endogenous variables Y and Z and instruments W. The function φ{symbol} is the solution of an ill-posed inverse problem and we propose an estimation procedure based on Tikhonov regularization. The paper analyzes identification and overidentification of this model, and presents asymptotic properties of the estimated nonparametric instrumental regression function.

Original languageEnglish
Pages (from-to)1541-1565
Number of pages25
JournalEconometrica
Volume79
Issue number5
DOIs
Publication statusPublished - Sep 2011
Externally publishedYes

Keywords

  • Ill-posed problem
  • Instrumental variables
  • Integral equation
  • Kernel smoothing
  • Tikhonov regularization

Cite this

Darolles, S., Fan, Y., Florens, J. P., & Renault, E. (2011). Nonparametric instrumental regression. Econometrica, 79(5), 1541-1565. https://doi.org/10.3982/ECTA6539