On ill-posedness of nonparametric instrumental variable regression with convexity constraints

Scaillet, Olivier

doi:10.1111/ectj.12071

Scientific article

English

On ill-posedness of nonparametric instrumental variable regression with convexity constraints

ContributorsScaillet, Olivier

Published inEconometrics journal, vol. 19, p. 232-236

Publication date2016

Abstract

This note shows that adding monotonicity or convexity constraints on the regression function does not restore well-posedness in nonparametric instrumental variable regression. The minimum distance problem without regularisation is still locally ill-posed.

Keywords

Nonparametric Estimation
Instrumental Variable
Ill-Posed Inverse Problems

Classification

JEL : C13

Affiliation entities

Faculté d'économie et de management

Research groups

Geneva Finance Research Institute (GFRI)

Citation (ISO format)

SCAILLET, Olivier. On ill-posedness of nonparametric instrumental variable regression with convexity constraints. In: Econometrics journal, 2016, vol. 19, p. 232–236. doi: 10.1111/ectj.12071

Article (Published version)

Appendix - Working paper

Identifiers

PID : unige:79975
DOI : 10.1111/ectj.12071

Journal ISSN1368-4221

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Creation14/01/2016 12:04:00

First validation14/01/2016 12:04:00

Update15/03/2023 00:05:49

Status update15/03/2023 00:05:48

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On ill-posedness of nonparametric instrumental variable regression with convexity constraints

This note shows that adding monotonicity or convexity constraints on the regression function does not restore well-posedness in nonparametric instrumental variable regression. The minimum distance problem without regularisation is still locally ill-posed.

Technical informations