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dc.contributor.authorDarolles, Serge
dc.contributor.authorFan, Yanqing
dc.contributor.authorFlorens, Jean-Pierre
dc.contributor.authorRenault, Eric
dc.date.accessioned2012-03-12T15:31:18Z
dc.date.available2012-03-12T15:31:18Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/8440
dc.language.isoenen
dc.subjectInstrumental variablesen
dc.subjectintegral equationen
dc.subjectill-posed problemen
dc.subjectTikhonov regularizationen
dc.subjectkernel smoothingen
dc.subject.ddc332en
dc.subject.classificationjelC30en
dc.subject.classificationjelC14en
dc.titleNonparametric Instrumental Regressionen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe focus of this paper is the nonparametric estimation of an instrumental regression function ϕ defined by conditional moment restrictions that stem from a structural econometric model E[Y−ϕ(Z)|W]=0, and involve endogenous variables Y and Z and instruments W. The function ϕ 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.en
dc.relation.isversionofjnlnameEconometrica
dc.relation.isversionofjnlvol79en
dc.relation.isversionofjnlissue5en
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages1541-1565en
dc.relation.isversionofdoihttp://dx.doi.org/10.3982/ECTA6539en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWileyen
dc.subject.ddclabelEconomie financièreen


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