Document de travail

Non Parametric Models with Instrumental Variables

Jean-Pierre Florens

Résumé

This paper gives a survey of econometric models characterized by a relation between observable and unobservable random elements where these unobservable terms are assumed to be independent of another set of observable variables called instrumental variables. This kind of specification is usefull to address the question of endogeneity or of selection bias for example. These models are treated non parametrically and in all the example we consider the functional parameter of interest is defined as the solution of a linear or non linear integral equation. The estimation procedure then requires to solve a (generally ill-posed) inverse problem. We illustrate the main questions (construction of the equation, identification, numerical solution, asymptotic properties, selection of the regularization parameter) by the different models we present.

Remplacé par

Jean-Pierre Florens et Senay Sokullu, « Non Parametric Estimation of Semi Parametric Transformation Models », Econometric Theory, vol. 33, n° 4, août 2017, p. 839–873.

Référence

Jean-Pierre Florens, « Non Parametric Models with Instrumental Variables », TSE Working Paper, n° 10-172, juin 2010.

Voir aussi

Publié dans

TSE Working Paper, n° 10-172, juin 2010