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Nonparametric Instrumental Regression
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Nonparametric Instrumental Regression

Author

Listed:
  • Serge Darolles

    (Crest)

  • Jean-Pierre Florens

    (Crest)

  • Eric Renault

    (Crest)

Abstract

The focus of this paper is the nonparametric estimation of an instrumental regression function f defined by conditional moment restrictions that stem from a structural econometric model E[Y − f (Z) | W] = 0, and involve endogenous variables Y and Z and instruments W. The function f 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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Serge Darolles & Jean-Pierre Florens & Eric Renault, 2000. "Nonparametric Instrumental Regression," Working Papers 2000-17, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2000-17
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    References listed on IDEAS

    as
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    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

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