Adaptive nonparametric instrumental variables estimation: Empirical choice of the regularization parameter
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DOI: 10.1016/j.jeconom.2014.03.006
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Citations
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- Nir Billfeld & Moshe Kim, 2019. "Semiparametric Wavelet-based JPEG IV Estimator for endogenously truncated data," Papers 1908.02166, arXiv.org.
- Babii, Andrii, 2020.
"Honest Confidence Sets In Nonparametric Iv Regression And Other Ill-Posed Models,"
Econometric Theory, Cambridge University Press, vol. 36(4), pages 658-706, August.
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- Ruiqi Liu & Ben Boukai & Zuofeng Shang, 2019. "Statistical Inference on Partially Linear Panel Model under Unobserved Linearity," Papers 1911.08830, arXiv.org.
- Centorrino Samuele & Feve Frederique & Florens Jean-Pierre, 2017.
"Additive Nonparametric Instrumental Regressions: A Guide to Implementation,"
Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-25, January.
- Samuele Centorrino & Frederique Feve & Jean-Pierre Florens, 2017. "Additive Nonparametric Instrumental Regressions: A Guide to Implementation," Department of Economics Working Papers 17-06, Stony Brook University, Department of Economics.
- Byunghoon Kang, 2017. "Inference in Nonparametric Series Estimation with Data-Dependent Undersmoothing," Working Papers 170712442, Lancaster University Management School, Economics Department.
- Xiaohong Chen & Yin Jia Jeff Qiu, 2016.
"Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide,"
Annual Review of Economics, Annual Reviews, vol. 8(1), pages 259-290, October.
- Xiaohong Chen & Yin Jia Qiu, 2016. "Methods for Nonparametric and Semiparametric Regressions with Endogeneity: a Gentle Guide," Cowles Foundation Discussion Papers 2032, Cowles Foundation for Research in Economics, Yale University.
- Byunghoon Kang, 2018. "Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms," Working Papers 240829404, Lancaster University Management School, Economics Department.
- Xiaohong Chen & Timothy M. Christensen, 2015. "Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation," CeMMAP working papers 32/15, Institute for Fiscal Studies.
- Jad Beyhum & Elia Lapenta & Pascal Lavergne, 2023. "One-step smoothing splines instrumental regression," Papers 2307.14867, arXiv.org, revised Apr 2024.
- Christoph Breunig & Xiaohong Chen, 2021. "Simple Adaptive Estimation of Quadratic Functionals in Nonparametric IV Models," Papers 2101.12282, arXiv.org, revised Feb 2022.
- Beyhum, Jad & Lapenta, Elia & Lavergne, Pascal, 2023. "One-step nonparametric instrumental regression using smoothing splines," TSE Working Papers 23-1467, Toulouse School of Economics (TSE).
- Xiaohong Chen & Timothy Christensen, 2013.
"Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation,"
Cowles Foundation Discussion Papers
1923R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2015.
- Xiaohong Chen & Timothy M. Christensen, 2015. "Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation," CeMMAP working papers CWP32/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Nir Billfeld & Moshe Kim, 2019. "Semiparametric correction for endogenous truncation bias with Vox Populi based participation decision," Papers 1902.06286, arXiv.org.
- Asin, Nicolas & Johannes, Jan, 2016. "Adaptive non-parametric instrumental regression in the presence of dependence," LIDAM Discussion Papers ISBA 2016015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Lu, Junwen & Qu, Zhongjun, 2021. "Sieve estimation of option-implied state price density," Journal of Econometrics, Elsevier, vol. 224(1), pages 88-112.
- Christoph Breunig & Xiaohong Chen, 2020. "Adaptive, Rate-Optimal Hypothesis Testing in Nonparametric IV Models," Papers 2006.09587, arXiv.org, revised Nov 2024.
- Demian Pouzo, 2015. "On the Non-Asymptotic Properties of Regularized M-estimators," Papers 1512.06290, arXiv.org, revised Oct 2016.
- Byunghoon Kang, 2019. "Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms," Papers 1909.12162, arXiv.org, revised Feb 2020.
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More about this item
Keywords
Ill-posed inverse problem; Regularization; Series estimation; Nonparametric estimation;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
Statistics
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