arXiv 13 Apr 2026 · Econometrics
arXiv:2604.11393 · PDF · DOI · OpenAlex · Extracted main text
We propose a novel procedure for estimating and conducting inference on average marginal effects in partially linear instrumental regressions using Reproducing Kernel Hilbert Space methods. Our procedure relies on a single regularization parameter. We obtain the consistency and asymptotic normality of our estimator. Since the variance of the limiting distribution has a complex analytical form, we propose a Bayesian bootstrap method to conduct inference and establish its validity. Our procedure is easy to implement and exhibits good finite-sample performance in simulations. Three empirical applications illustrate its implementation on real data, showing that it yields economically meaningful results.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Florens, J.-P., Johannes, J., and Van Bellegem, S (2012) Instrumental regression in partially linear models | 1.000 | 6 | 3 | 100% |
| 2 | Steinwart, I. and Christmann, A (2008) Support vector machines | 0.956 | 8 | 4 | 88% |
| 3 | Sokullu, S (2016) A semi-parametric analysis of two-sided markets: An application to the local daily newspapers in the usa | 0.874 | 11 | 2 | 100% |
| 4 | Frankel, J. A. and Romer, D. H (1999) Does trade cause growth? | 0.874 | 7 | 2 | 100% |
| 5 | Angrist, J. D. and Lavy, V (1999) Using maimonides' rule to estimate the effect of class size on scholastic achievement | 0.874 | 5 | 2 | 100% |
| 6 | Wainwright, M. J (2019) High-dimensional statistics: A non-asymptotic viewpoint | 0.794 | 8 | 4 | 50% |
| 7 | Ai, C. and Chen, X (2007) Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables | 0.737 | 3 | 2 | 100% |
| 8 | Berlinet, A. and Thomas-Agnan, C (2011) Reproducing kernel Hilbert spaces in probability and statistics | 0.737 | 3 | 2 | 100% |
| 9 | Beyhum, J., Lapenta, E., and Lavergne, P (2024) One-step smoothing splines instrumental regression self | 0.721 | 8 | 4 | 38% |
| 10 | Kreyszig, E (1991) Introductory functional analysis with applications | 0.659 | 7 | 3 | 29% |
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