Constrained Nonparametric Instrumental Regression
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| Title | Constrained Nonparametric Instrumental Regression |
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| Alternative Title | Shape Constrained Nonparametric Instrumental Regression |
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| Number of Parts | 13 |
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| License | You are free to use, copy, distribute and transmit the work or content in unchanged form for any legal and non-commercial purpose as long as the work is attributed to the author in the manner specified by the author or licensor. |
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| Abstract | We consider nonparametric kernel estimation of an instrumental regression function φ defined by conditional moment restrictions that stem from a structural econometric model E(Y − φ(Z)|W ) = 0, and involve endogenous variables Y and Z and instruments W . The function φ is the solution to an ill-posed inverse problem. Our primary focus lies in shape constrained estimation, and we present a simple and robust approach towards shape constrained local nonparametric instrumental regression. The constraints can be imposed on the estimated function φ^, its derivatives, or combinations thereof. Our approach facilitates imposing, say, axioms of consumer/producer theory on an otherwise unrestricted but smooth estimate. Theoretical underpinnings are provided and applications are considered. |
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