Jean-Pierre Florens, Elia Lapenta
arXiv 21 Dec 2022 · Econometrics · publishedTest (2024) · 1 citations (OpenAlex)
arXiv:2212.11012 · PDF · DOI · OpenAlex · Extracted main text
We consider a semiparametric partly linear model identified by instrumental variables. We propose an estimation method that does not smooth on the instruments and we extend the Landweber-Fridman regularization scheme to the estimation of this semiparametric model. We then show the asymptotic normality of the parametric estimator and obtain the convergence rate for the nonparametric estimator. Our estimator that does not smooth on the instruments coincides with a typical estimator that does smooth on the instruments but keeps the respective bandwidth fixed as the sample size increases. We propose a data driven method for the selection of the regularization parameter, and in a simulation study we show the attractive performance of our estimators.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Carrasco, M., J.-P. Florens, and E. Renault (2007) Chapter 77 Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization, in self | 1.000 | 13 | 4 | 100% |
| 2 | Kress, R (2012) Linear Integral Equations | 1.000 | 10 | 4 | 100% |
| 3 | Darolles, S., Y. Fan, J. P. Florens, and E. Renault (2011) Nonparametric Instrumental Regression | 1.000 | 9 | 5 | 100% |
| 4 | Florens, J.-P., J. Johannes, and S. V. Bellegem (2012) Instrumental regression in partially linear models self | 1.000 | 9 | 4 | 100% |
| 5 | Hall, P. and J. L. Horowitz (2005) Nonparametric methods for inference in the presence of instrumental variables | 0.843 | 3 | 3 | 100% |
| 6 | Chen, Q (2021) Robust and optimal estimation for partially linear instrumental variables models with partial identification | 0.811 | 4 | 2 | 100% |
| 7 | Escanciano, J. C (2018) A simple and robust estimator for linear regression models with strictly exogenous instruments | 0.811 | 4 | 2 | 100% |
| 8 | Lavergne, P. and V. Patilea (2013) Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory | 0.811 | 4 | 2 | 100% |
| 9 | Newey, W. K. and J. L. Powell (2003) Instrumental variable estimation of nonparametric models | 0.811 | 4 | 2 | 100% |
| 10 | Bierens, H. J (2017) Econometric Model Specification | 0.644 | 4 | 1 | 100% |
Showing the top 10 of 32 scored citations.