Identification and estimation by penalization in nonparametric instrumental regression
(2007)
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- Abstract
- The nonparametric estimation of a regression function ϕ from conditional moment restrictions involving instrumental variables is considered. The rate of convergence of penalized estimators is studied in the case where ϕ 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 ϕ.
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Florens, J.-P., Johannes, J., & Van Bellegem, S. (2007). Identification and estimation by penalization in nonparametric instrumental regression (Discussion Papers 85). https://hdl.handle.net/2078.5/250776