April 27, 2009, 14:15–15:30
Toulouse
Room MF 323
Statistics Seminar
Abstract
We consider the problem of estimating the value of a linear functional in nonparametric instrumental regression, where in the presence of an instrument W a response Y is modeled in dependence of an endogenous explanatory variable Z. The proposed estimator is based on dimension reduction and additional thresholding. The minimax optimal rate of convergence of the estimator is derived assuming that the structural function and the representer of the linear functional belong to some ellipsoids which are in a certain sense linked to the conditional expectation operator of Z given W. We illustrate these results by considering classical smoothness assumptions.
Keywords
Nonparametric regression; Instrument; Linear functional; Linear Galerkin approach; Optimal rates of convergence; Sobolev space; finitely and infinitely smoothing operator;
JEL codes
- C14: Semiparametric and Nonparametric Methods: General
- C30: General