IDENTIFICATION AND ESTIMATION BY PENALIZATION IN NONPARAMETRIC INSTRUMENTAL REGRESSION

B-Tier
Journal: Econometric Theory
Year: 2011
Volume: 27
Issue: 3
Pages: 472-496

Authors (3)

Florens, Jean-Pierre (not in RePEc) Johannes, Jan (not in RePEc) Van Bellegem, Sébastien (Université Catholique de Louva...)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:27:y:2011:i:03:p:472-496_00
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-29