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Identification and estimation by penalization in nonparametric instrumental regression

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Florens, Jean-Pierre [Université de Toulouse I] Johannes, Jan [UCL] Van Bellegem, Sébastien [UCL]

The nonparametric estimation of a regression function from conditional moment restrictions involving instrumental variables is considered. The rate of convergence of penalized estimators is studied in the case where the regression function is not identified from the conditional moment restriction. We also study the gain of modifying the penalty in the estimation, considering derivatives in the penalty. We analyze the effect of this modification on the identification of the regression function and the rate of convergence of its estimator.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2011
Language Anglais
Journal information "Econometric Theory" - Vol. 27, no. 3, p. 472-496 (2011)
Peer reviewed yes
Publisher Cambridge University Press ((United Kingdom) Cambridge)
issn 0266-4666
Publication status Publié
Affiliations UCL - SSH/LIDAM/CORE - Center for operations research and econometrics
Université de Toulouse I - Toulouse School of Economics
UCL - EUEN/CORE - Center for operations research and econometrics
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Bibliographic reference Florens, Jean-Pierre ; Johannes, Jan ; Van Bellegem, Sébastien. Identification and estimation by penalization in nonparametric instrumental regression. In: Econometric Theory, Vol. 27, no. 3, p. 472-496 (2011)
Permanent URL http://hdl.handle.net/2078.1/76216