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- Title
The practice of non-parametric estimation by solving inverse problems: the example of transformation models.
- Authors
FÈVE, FRÉDÉRIQUE; FLORENS, JEAN-PIERRE
- Abstract
This paper considers a semi-parametric version of the transformation model φ(Y) = β' X + U under exogeneity or instrumental variables assumptions (E(U | X) = 0 or E(U | instruments) = 0). This model is used as an example to illustrate the practice of the estimation by solving linear functional equations. This paper is specially focused on the data-driven selection of the regularization parameter and of the bandwidths. Simulations experiments illustrate the relevance of this approach.
- Subjects
INVERSE problems; EXOGENEITY (Econometrics); INSTRUMENTAL variables (Statistics); ECONOMETRICS; TIKHONOV regularization
- Publication
Econometrics Journal, 2010, Vol 13, Issue 3, pS1
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1111/j.1368-423X.2010.00314.x