In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g say, is … discontinuous and must be regularised (that is, modified) to make consistent estimation possible. The amount of modification is … in applications are not yet available. This paper presents such a method for use in series estimation, where the …

(NPIV) estimation methods without and with a cross-validated choice of tuning parameters, respectively. Both commands are … performance of the NPIV estimator (Chetverikov and Wilhelm 2017). This is because the ill-posedness of the NPIV estimation problem … properties and an application to the estimation of gasoline demand functions. …

We provide general compactness results for many commonly used parameter spaces in nonparametric estimation. We consider … instrumental variables estimation. …

modify or "regularize" the identifying mapping is explained, and methods for regularization and estimation are discussed … the population distribution. If the inverse mapping is discontinuous, then estimation of the parameter usually presents an … interest is a function. This paper explains how ill-posedness arises and why it causes problems for estimation. The need to …

. Our approach involves no nonparametric estimation, which is especially important for applications with many covariates …

. Our approach involves no nonparametric estimation, which is especially important for applications with many covariates …

nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm …

nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm … ensure valid estimation and inference allowing for a range of hypotheses of interest in financial applications. We show that …