ESTIMATION OF NONPARAMETRIC CONDITIONAL MOMENT MODELS WITH POSSIBLY NONSMOOTH GENERALIZED RESIDUALS

This paper studies nonparametric estimation of conditional moment restrictions in which the generalized residual functions can be nonsmooth in the unknown functions of endogenous variables. This is a nonparametric nonlinear instrumental variables (IV) problem. We propose a class of penalized sieve m...

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Bibliographic Details
Published in:	Econometrica 2012-01, Vol.80 (1), p.277-321
Main Authors:	Chen, Xiaohong, Pouzo, Demian
Format:	Article
Language:	English
Subjects:	Applications Banach space Consistent estimators Convergence convergence rate Econometrics Economic models Empirical research Endogenous Estimating techniques Estimation Estimators Euclidean space Exact sciences and technology Fines & penalties Fines and penalties Function spaces Functional analysis Functions of a complex variable Instrumental variables estimation Insurance, economics, finance Inverse problems IV-Schätzung Mathematical analysis Mathematics modulus of continuity Momentenmethode Nichtparametrisches Verfahren Non-linear models Nonlinear ill‐posed inverse nonparametric additive quantile IV Nonparametric inference Nonparametric models Norms Parametric models penalized sieve minimum distance Penalties Penalty function Probability and statistics quantile IV Engel curves Regression analysis Sciences and techniques of general use Simulation Simulation techniques Statistics Studies Theorie Variables
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