The focus of the paper is the nonparametric estimation of an instrumental regression function P defined by conditional moment restrictions stemming from a structural econometric model : E[Y-P(Z)|W]=0 and involving endogenous variables Y and Z and instruments W. The function P is the solution of...

The nonparametric estimation of a regression function x from conditional moment restrictions involving instrumental variables is considered. The rate of convergence of penalized estimators is studied in the case where x is not identified from the conditional moment restriction. We also study the...

We consider the semiparametric regression X t +(Z) where and (r and function, and where the variables (X, Z) are endogeneous. We propose necessary and sufficient conditions for the identification of the parameters in the presence of instrumental variables. We also focus on the estimation of . An...

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

We propose a quasi-Bayesian nonparametric approach to estimating the structural relationship φ among endogenous variables when instruments are available. We show that the posterior distribution of φ is inconsistent in the frequentist sense. We interpret this fact as the ill-posedness of the...