Authors: Dunker, Fabian
Title: Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence
Language (ISO): en
Abstract: In econometrics some nonparametric instrumental regression models and nonparametric demand models with endogeneity lead to nonlinear integral equations with unknown integral kernels. We prove convergence rates of the risk for the iteratively regularized Newton method applied to these problems. Compared to related results we relay on a weaker non-linearity condition and have stronger convergence results. We demonstrate by numerical simulations for a nonparametric IV regression problem with continuous instrument and regressor that the method produces better results than the standard method.
Subject Headings: nonparametric regression
iterative regularization
nonlinear inverse problems
instrumental variables
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
DP_4515_SFB823_Dunker.pdfDNB716.34 kBAdobe PDFView/Open

This item is protected by original copyright

All resources in the repository are protected by copyright.