Iterative estimation of solutions to noisy nonlinear operator equations in nonparametric instrumental regression

A-Tier
Journal: Journal of Econometrics
Year: 2014
Volume: 178
Issue: P3
Pages: 444-455

Authors (5)

Dunker, Fabian (University of Canterbury, Scho...) Florens, Jean-Pierre (not in RePEc) Hohage, Thorsten (not in RePEc) Johannes, Jan (not in RePEc) Mammen, Enno (not in RePEc)

Score contribution per author:

0.807 = (α=2.02 / 5 authors) × 2.0x A-tier

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

Abstract

This paper discusses the solution of nonlinear integral equations with noisy integral kernels as they appear in nonparametric instrumental regression. We propose a regularized Newton-type iteration and establish convergence and convergence rate results. A particular emphasis is on instrumental regression models where the usual conditional mean assumption is replaced by a stronger independence assumption. We demonstrate for the case of a binary instrument that our approach allows the correct estimation of regression functions which are not identifiable with the standard model. This is illustrated in computed examples with simulated data.

Technical Details

RePEc Handle
repec:eee:econom:v:178:y:2014:i:p3:p:444-455
Journal Field
Econometrics
Author Count
5
Added to Database
2026-01-25