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IDENTIFICATION AND ESTIMATION BY PENALIZATION IN NONPARAMETRIC INSTRUMENTAL REGRESSION

Published online by Cambridge University Press:  12 October 2010

Jean-Pierre Florens ,
Jan Johannes  and
Sébastien Van Bellegem
Jean-Pierre Florens
Affiliation:
Toulouse School of Economics
Jan Johannes
Affiliation:
Université Catholique de Louvain
Sébastien Van Bellegem*
Affiliation:
Toulouse School of Economics and CORE
*
*Address correspondence to Sébastien Van Bellegem, 21 Allée de Brienne, 31000 Toulouse, France; email: svb@tse-fr.eu.
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Abstract

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.

Type
ARTICLES
Information
Econometric Theory , Volume 27 , Issue 3: SPECIAL ISSUE ON INVERSE PROBLEMS IN ECONOMETRICS , June 2011 , pp. 472 - 496
Copyright
Copyright © Cambridge University Press 2011

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