Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/79392 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
cemmap working paper No. CWP20/07
Verlag: 
Centre for Microdata Methods and Practice (cemmap), London
Zusammenfassung: 
In this paper, we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and nonparametric instrumental variables (NPIV) regression models. We establish minimax risk lower bounds in mean integrated squared error loss for the NPIR and the NPIV models under two basic regularity conditions that allow for both mildly ill-posed and severely ill-posed cases.We show that both a simple projection estimator for the NPIR model, and a sieve minimum distance estimator for the NPIV model,can achieve the minimax risk lower bounds, and are rate-optimal uniformly over a large class of structure functions, allowing for mildly ill-posed and severely ill-posed cases.
Schlagwörter: 
Nonparametric instrumental regression , Nonparametric indirect regression , Statistical ill-posed inverse problems , Minimax risk lower bound , Optimal rate
JEL: 
C14
C30
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
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