Nonparametric Instrumental Regression

2011/01/01 by Serge Darolles, Jean‐Pierre Florens, Yanqin Fan +1 · 18 citations
Mathematics · #Numerical methods in inverse problems

paper · doi:10.3982/ecta6539

Abstract

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

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