Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par sujet "variables instrumentales"
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Nonparametric Instrumental Regression
(Université de Montréal. Département de sciences économiques., 2002)The focus of the paper is the nonparametric estimation of an instrumental regression function P defined by conditional moment restrictions stemming from a structural econometric model : E[Y-P(Z)|W]=0 and involving endogenous variables Y and Z and ... -
Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off
(Université de Montréal. Département de sciences économiques., 1999)Recent work shows that a low correlation between the instruments and the included variables leads to serious inference problems. We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors ...