Nonparametric estimation of an instrumental regression: a quasi-Bayesian approach based on regularized posterior

DOI10.1016/j.jeconom.2012.05.016zbMath1443.62094OpenAlexW2156020127MaRDI QIDQ528060

Anna Simoni, Jean-Pierre Florens

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://idei.fr/sites/default/files/medias/doc/wp/2010/wp_idei_622.pdf

zbMATH Keywords

Tikhonov regularizationposterior distributionnonparametric estimationposterior consistencyinstrumental regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Bayesian inference (62F15)

Related Items (11)

Regularized Posteriors in Linear Ill-Posed Inverse Problems ⋮ Bayesian Instrumental Variables: Priors and Likelihoods ⋮ Additive nonparametric instrumental regressions: a guide to implementation ⋮ When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage ⋮ SEMIPARAMETRIC ESTIMATION OF RANDOM COEFFICIENTS IN STRUCTURAL ECONOMIC MODELS ⋮ Quasi-Bayesian analysis of nonparametric instrumental variables models ⋮ Posterior consistency of nonparametric conditional moment restricted models ⋮ ADAPTIVE ESTIMATION OF FUNCTIONALS IN NONPARAMETRIC INSTRUMENTAL REGRESSION ⋮ REGULARIZING PRIORS FOR LINEAR INVERSE PROBLEMS ⋮ On frequentist coverage errors of Bayesian credible sets in moderately high dimensions ⋮ On oracle property and asymptotic validity of Bayesian generalized method of moments

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