Abstract
We present a review on the implementation of regularization methods for the estimation of additive nonparametric regression models with instrumental variables. We consider various versions of Tikhonov, Landweber-Fridman and Sieve (Petrov-Galerkin) regularization. We review data-driven techniques for the sequential choice of the smoothing and the regularization parameters. Through Monte Carlo simulations, we discuss the finite sample properties of each regularization method for different smoothness properties of the regression function. Finally, we present an application to the estimation of the Engel curve for food in a sample of rural households in Pakistan, where a partially linear specification is described that allows one to embed other exogenous covariates.
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Supplemental Material
The online version of this article (DOI: 10.1515/jem-2015-0010) offers supplementary material, available to authorized users.
©2017 Walter de Gruyter GmbH, Berlin/Boston
Articles in the same Issue
- Frontmatter
- Research Articles
- Regression Discontinuity with Errors in the Running Variable: Effect on Truthful Margin
- A Simple Estimator for Dynamic Models with Serially Correlated Unobservables
- Selection of an Estimation Window in the Presence of Data Revisions and Recent Structural Breaks
- Discriminating between (in)valid External Instruments and (in)valid Exclusion Restrictions
- Competing Risks Copula Models for Unemployment Duration: An Application to a German Hartz Reform
- Intercept Homogeneity Test for Fixed Effect Models under Cross-sectional Dependence: Some Insights
- Practitioner’s Corner
- Root-n Consistent Kernel Density Estimation in Practice
- Linear Model IV Estimation When Instruments Are Many or Weak
- Additive Nonparametric Instrumental Regressions: A Guide to Implementation
- Teaching Corner
- Teaching Size and Power Properties of Hypothesis Tests Through Simulations
Articles in the same Issue
- Frontmatter
- Research Articles
- Regression Discontinuity with Errors in the Running Variable: Effect on Truthful Margin
- A Simple Estimator for Dynamic Models with Serially Correlated Unobservables
- Selection of an Estimation Window in the Presence of Data Revisions and Recent Structural Breaks
- Discriminating between (in)valid External Instruments and (in)valid Exclusion Restrictions
- Competing Risks Copula Models for Unemployment Duration: An Application to a German Hartz Reform
- Intercept Homogeneity Test for Fixed Effect Models under Cross-sectional Dependence: Some Insights
- Practitioner’s Corner
- Root-n Consistent Kernel Density Estimation in Practice
- Linear Model IV Estimation When Instruments Are Many or Weak
- Additive Nonparametric Instrumental Regressions: A Guide to Implementation
- Teaching Corner
- Teaching Size and Power Properties of Hypothesis Tests Through Simulations