A0588
Title: Adaptive estimation for somenonparametric instrumental variablemodels with full independence
Authors: Fabian Dunker - University of Canterbury (New Zealand) [presenting]
Abstract: The problem of endogeneity in statistics and econometrics is often handled by introducing instrumental variables (IV) which fulfil the mean independence assumption, i.e. the unobservable is mean independent of the instruments. When full independence of IVs and the unobservable is assumed, nonparametric IV regression models and nonparametric demand models lead to nonlinear integral equations with unknown integral kernels. We prove convergence rates for the mean integrated square error of the iteratively regularized Newton method applied to these problems. Compared to related results we derive stronger convergence results that rely on weaker nonlinearity restrictions. We demonstrate in numerical simulations for a nonparametric IV regression that the method produces better results than the standard model.
