Instrumental regression in partially linear models

Econometrics Journal

Volumn 15, Issue 2, 2012, Pages 304-324

  Florens, Jean Pierre ^a   Johannes, Jan ^b   Van Bellegem, Sébastien ^b  

^a UNIVERSITY OF TOULOUSE CAPITOLE   (France)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Endogeneity; Ill posed inverse problem; Instrumental variables; Partially linear model; Root N consistent estimation; Semi parametric regression; Tikhonov regularization

Indexed keywords

EID: 84866269921     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2011.00358.x     Document Type: Article

References (31)

1. Ai, C. and X. Chen (2003). Efficient estimation of models with conditional moment restrictions containing unknown functions. Econometrica 71, 1795-843.
2. Andrews, D. W. (1991). Asymptotic normality of series estimators for nonparametric and semiparametric regression models. Econometrica 59, 307-45.
3. Anglin, P. M. and R. Gençay (1996). Semiparametric estimation of a hedonic price function. Journal of Applied Econometrics 11, 633-48.
4. Carrasco, M., J.-P. Florens and E. Renault (2007). Linear inverse problems in structural econometrics: estimation based on spectral decomposition and regularization. In J. Heckman and E. Leamer (Eds.), Handbook of Econometrics, Volume 6B, 5633-751. Amsterdam : Elsevier.
5. Chamberlain, G. (1987). Asymptotic efficiency in estimation with condition moment restrictions. Journal of Econometrics 34, 305-34.
6. Chen, X. (2007). Large sample sieve estimation of semi-nonparametric models. In J. Heckman and E. Leamer (Eds.), Handbook of Econometrics, Volume 6B, 5549-632. Amsterdam : Elsevier.
7. Chen, X. and D. Pouzo (2009). Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals. Journal of Econometrics 152, 46-60.
8. Chen, X. and D. Pouzo (2011). Estimation of nonparametric conditional moment models with possibly nonsmooth generalized residuals. Forthcoming in Econometrica.
9. Chen, X. and M. Reiss (2011). On rate optimality for ill-posed inverse problems in econometrics. Econometric Theory 27, 497-521.
10. Darolles, S., Y. Fan, J.-P. Florens and E. Renault (2011). Nonparametric instrumental regression. Econometrica 79, 1541-65.
11. Engl, H. W., M. Hanke and A. Neubauer (1996). Regularization of Inverse Problems. Dordrecht : Kluwer Academic.
12. Engle, R. F., C. Granger, J. Rice and A. Weiss (1986). Semiparametric estimates of the relation between weather and electricity sales. Journal of the American Statistical Association 81, 310-20.
13. Florens, J., J. Johannes and S. Van Bellegem (2005). Instrumental regression in partially linear models. Discussion Paper No. 2006/25, CORE, Université catholique de Louvain
14. Florens, J., J. Johannes and S. Van Bellegem (2011). Identification and estimation by penalization in nonparametric instrumental regression. Econometric Theory 27, 472-96.
15. Florens, J.-P. (2003). Inverse problems and structural econometrics: the example of instrumental variables. In M. Dewatripont, L. P. Hansen and S. J. Turnovsky (Eds.), Advances in Economics and Econometrics: Theory and Applications, Eight World Congress, Econometric Society Monograph Series, ESM 36, Volume II, 284-312. Cambridge : Cambridge University Press.
16. Florens, J.-P., M. Mouchart and J.-M. Rolin (1990). Elements of Bayesian Statistics. New York : Dekker.
17. Hadamard, J. (1902). Sur les problèmes aux dérivées partielles et leur signification physique. Princeton University Bulletin 13, 49-52.
18. Hall, P. and J. L. Horowitz (2005). Nonparametric methods for inference in the presence of instrumental variables. Annals of Statistics 33, 2904-29.
19. Härdle, W., H. Liang and J. Gao (1990). Partially Linear Models. Heidelberg: Springer.
20. Heckman, J., H. Ichimura, J. Smith and P. Todd (1998). Characterizing selection bias using experimental data. Econometrica 66, 1017-98.
21. Johannes, J., S. Van Bellegem and A. Vanhems (2011). Convergence rates for ill-posed inverse problems with an unknown operator. Econometric Theory 27, 522-45.
22. Lehmann, E. and H. Scheffe (1950). Completeness similar regions and unbiased tests: Part I. Sankhyā 10, 305-40.
23. Linton, O. (1995). Second order approximation in the partially linear regression model. Econometrica 63, 1079-112.
24. Ma, Y. and R. J. Carroll (2006). Locally efficient estimators for semiparametric models with measurement error. Journal of the American Statistical Association 101, 1465-74.
25. Newey, W. K. and J. L. Powell (2003). Instrumental variable estimation of nonparametric models. Econometrica 71, 1565-78.
26. Robinson, P. M. (1988). Root-n-consistent semiparametric regression. Econometrica 56, 931-54.
27. San Martín, E., M. Mouchart and J.-M. Rolin (2005). Ignorable common information, null sets and Basu's first Theorem. Sankhyā 67, 674-98.
28. Schmalensee, R. and T. M. Stoker (1999). Household gasoline demand in the united states. Econometrica 67, 645-62.
29. Scott, D. W. (1992). Multivariate Density Estimation. New York : Wiley.
30. Stock, J. H. (1989). Nonparametric policy analysis. Journal of the American Statistical Association 84, 567-76.
31. Tikhonov, A., A. Goncharsky, V. Stepanov and A. Yagola (1995). Numerical methods for the solution of ill-posed problems. Mathematics and Its Applications, Volume 328. New York : Springer.