期刊
ECONOMETRICA
卷 79, 期 5, 页码 1541-1565出版社
WILEY
DOI: 10.3982/ECTA6539
关键词
Instrumental variables; integral equation; ill-posed problem; Tikhonov regularization; kernel smoothing
The focus of this paper is the nonparametric estimation of an instrumental regression function phi defined by conditional moment restrictions that stem from a structural econometric model E[Y - phi(Z) vertical bar W] = 0, and involve endogenous variables Y and Z and instruments W. The function phi 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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据