In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g, is discontinuous and must be regularized to permit consistent estimation. The optimal regularization parameter depends on population characteristics that are unknown in applications. This...

A parameter of an econometric model is identified if there is a one-to-one or many-to-one mapping from the population distribution of the available data to the parameter. Often, this mapping is obtained by inverting a mapping from the parameter to the population distribution. If the inverse...