期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2007
卷号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：The nonparametric estimation of a regression function . from conditional moment
restrictions involving instrumental variables is considered. The rate of convergence of
penalized estimators is studied in the case where . is not identified from the conditional
moment restriction. We also study the gain of modifying the penalty in the estimation,
considering for instance a Sobolev-type of penalty. We analyze the effect of this
modification on the rate of convergence of the estimator and on the identification of the
regression function ..
