Nonparametric instrumental variable derivative estimation

The focus of this paper is the nonparametric estimation of the marginal effects (i.e. first partial derivatives) of an instrumental regression function π defined by conditional moment restrictions that stem from a structural econometric model [Formula omitted.] , and involve endogenous variables Y a...

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Bibliographic Details
Published in:Journal of nonparametric statistics 2018-04, Vol.30 (2), p.368-391
Main Authors: Florens, J. P., Racine, J. S., Centorrino, S.
Format: Article
Language:English
Subjects:
Econometrics
Economic models
Ill posed problems
Inverse problems
Nonparametric statistics
Regularization
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Summary:The focus of this paper is the nonparametric estimation of the marginal effects (i.e. first partial derivatives) of an instrumental regression function π defined by conditional moment restrictions that stem from a structural econometric model [Formula omitted.] , and involve endogenous variables Y and Z and instruments W. The derivative function [Formula omitted.] is the solution of an ill-posed inverse problem and we propose an estimation procedure based on Landweber-Fridman regularisation. We provide theoretical underpinnings of the proposed approach, examine finite-sample performance, and consider an illustrative application.
ISSN:1048-5252
1029-0311
DOI:10.1080/10485252.2018.1428745