Iterative regularization in nonparametric instrumental regression
We consider the nonparametric regression model with an additive error that is correlated with the explanatory variables. We suppose the existence of instrumental variables that are considered in this model for the identification and the estimation of the regression function. The nonparametric estimation by instrumental variables is an ill-posed linear inverse problem with an unknown but estimable operator. We provide a new estimator of the regression function using an iterative regularization method (the Landweber-Fridman method). The optimal number of iterations and the convergence of the mean square error of the resulting estimator are derived under both mild and severe degrees of ill-posedness. A Monte-Carlo exercise shows the impact of some parameters on the estimator and concludes on the reasonable finite sample performance of the new estimator.
Year of publication: |
2010-09-01
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Authors: | JOHANNES, Jan ; VAN BELLEGEM, Sébastien ; VANHEMS, Anne |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | nonparametric estimation | instrumental variable | ill-posed inverse problem | iterative method | estimation by projection |
Saved in:
freely available
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2010055 |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General |
Source: |
Persistent link: https://www.econbiz.de/10008836152
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