Jad Beyhum, Elia Lapenta, Pascal Lavergne
arXiv 27 Jul 2023 · Econometrics · publishedEconometrics Journal (2024) · 1 citations (OpenAlex)
arXiv:2307.14867 · PDF · DOI · OpenAlex · Extracted main text
We extend nonparametric regression smoothing splines to a context where there is endogeneity and instrumental variables are available. Unlike popular existing estimators, the resulting estimator is one-step and relies on a unique regularization parameter. We derive rates of the convergence for the estimator and its first derivative, which are uniform in the support of the endogenous variable. We also address the issue of imposing monotonicity in estimation and extend the approach to a partly linear model. Simulations confirm the good performances of our estimator compared to two-step procedures. Our method yields economically sensible results when used to estimate Engel curves.
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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 | Chen, X. and Pouzo, D (2012) Estimation of nonparametric conditional moment models with possibly nonsmooth generalized residuals | 1.000 | 5 | 4 | 100% |
| 2 | Darolles, S., Fan, Y., Florens, J.-P., and Renault, E (2011) Nonparametric instrumental regression | 1.000 | 5 | 3 | 100% |
| 3 | Blundell, R., Chen, X., and Kristensen, D (2007) Semi-nonparametric IV estimation of shape-invariant engel curves | 0.928 | 4 | 3 | 100% |
| 4 | Green, P. J. and Silverman, B. W (1993) Nonparametric regression and generalized linear models: a roughness penalty approach | 0.920 | 9 | 3 | 78% |
| 5 | Gagliardini, P. and Scaillet, O (2012) Tikhonov regularization for nonparametric instrumental variable estimators | 0.843 | 4 | 3 | 75% |
| 6 | Chen, X. and Reiss, M (2011) On rate optimality for ill-posed inverse problems in econometrics | 0.843 | 5 | 3 | 60% |
| 7 | Wahba, G (1990) Spline models for observational data | 0.843 | 3 | 3 | 100% |
| 8 | Ai, C. and Chen, X (2003) Efficient estimation of models with conditional moment restrictions containing unknown functions | 0.843 | 3 | 3 | 100% |
| 9 | Bierens, H. J (1982) Consistent model specification tests | 0.830 | 7 | 3 | 57% |
| 10 | Florens, J.-P., Johannes, J., and Van Bellegem, S (2011) Identification and estimation by penalization in nonparametric instrumental regression | 0.737 | 5 | 4 | 40% |
Showing the top 10 of 62 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Average Marginal Effects in One-Step Partially Linear Instrumental Regressions | 0.721 | 8 | 4 |