Nonparametric Instrumental Regression
S. Darolles, Y. Fan, J. P. Florens, E. Renault
Econometrica · 2011 · Volume 79 · Issue 5
Abstract
The focus of this paper is the nonparametric estimation of an instrumental regression functionϕdefined by conditional moment restrictions that stem from a structural econometric modelE[Y−ϕ(Z)|W]=0, and involve endogenous variablesYandZand instrumentsW. The functionϕis 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.
Keywords
Instrumental variables, integral equation, ill-posed problem, Tikhonov regularization, kernel smoothing
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