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Nonparametric methods for inference in the presence of instrumental variables

Hall, Peter; Horowitz, Joel L.


We suggest two nonparametric approaches, based on kernel methods and orthogonal series to estimating regression functions in the presence of instrumental variables. For the first time in this class of problems, we derive optimal convergence rates, and show that they are attained by particular estimators. In the presence of instrumental variables the relation that identifies the regression function also defines an ill-posed inverse problem, the ``difficulty'' of which depends on...[Show more]

CollectionsANU Research Publications
Date published: 2006-03-06
Type: Journal article
Source: Annals of Statistics 2005, Vol. 33, No. 6, 2904-2929
DOI: 10.1214/009053605000000714


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