论文标题
部分线性仪器变量回归，而无需平滑乐器
Partly Linear Instrumental Variables Regressions without Smoothing on the Instruments
论文作者
论文摘要
我们考虑一个由仪器变量确定的半参数部分线性模型。我们提出了一种估计方法，该方法无法平滑仪器，并将Landweber-Fridman正则化方案扩展到该半参数模型的估计。然后，我们显示参数估计器的渐近正态性，并获得非参数估计器的收敛速率。我们在仪器上不平滑的估计器与典型的估计器一致，该估计器在仪器上确实平滑，但随着样本量的增加而保持相应的带宽。我们提出了一种数据驱动的方法，用于选择正则化参数，在仿真研究中，我们显示了估计器的有吸引力的性能。
We consider a semiparametric partly linear model identified by instrumental variables. We propose an estimation method that does not smooth on the instruments and we extend the Landweber-Fridman regularization scheme to the estimation of this semiparametric model. We then show the asymptotic normality of the parametric estimator and obtain the convergence rate for the nonparametric estimator. Our estimator that does not smooth on the instruments coincides with a typical estimator that does smooth on the instruments but keeps the respective bandwidth fixed as the sample size increases. We propose a data driven method for the selection of the regularization parameter, and in a simulation study we show the attractive performance of our estimators.
