Econometrica: Sep 2011, Volume 79, Issue 5

Nonparametric Instrumental Regression

https://doi.org/10.3982/ECTA6539
p. 1541-1565

S. Darolles, Y. Fan, J. P. Florens, E. Renault

The focus of this paper is the nonparametric estimation of an instrumental regression function defined by conditional moment restrictions that stem from a structural econometric model [−()|]=0, and involve endogenous variables and and instruments . The function 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.
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Supplemental Material

Supplement to "Nonparametric Instrumental Regression"

This appendix contains proofs of the main results and verification of assumptions A.3 and A.4

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