NONPARAMETRIC INSTRUMENTAL REGRESSION

被引：165
|
作者：
Darolles, S. [1 ]
Fan, Y. [2 ]
Florens, J. P. [3 ]
Renault, E. [4 ,5 ]
机构：
[1] Univ Paris 09, DRM, F-75775 Paris 16, France
[2] Vanderbilt Univ, Dept Econ, Nashville, TN 37235 USA
[3] Univ Toulouse 1 Capitole, Toulouse Sch Econ, F-31000 Toulouse, France
[4] Brown Univ, Dept Econ, Providence, RI 02912 USA
[5] CENTER, Tilburg, Netherlands
来源：
ECONOMETRICA | 2011年 / 79卷 / 05期
关键词：
Instrumental variables; integral equation; ill-posed problem; Tikhonov regularization; kernel smoothing; POSED INVERSE PROBLEMS; IDENTIFICATION; MODELS;
D O I：
10.3982/ECTA6539
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The focus of this paper is the nonparametric estimation of an instrumental regression function phi defined by conditional moment restrictions that stem from a structural econometric model E[Y - phi(Z) vertical bar W] = 0, and involve endogenous variables Y and Z and instruments W. The function phi 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.
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页码：1541 / 1565
页数：25
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