Oracle Inequality for Instrumental Variable RegressionReport as inadecuate




Oracle Inequality for Instrumental Variable Regression - Download this document for free, or read online. Document in PDF available to download.

1 IMT - Institut de Mathématiques de Toulouse UMR5219

Abstract : We tackle the problem of estimating a regression function observed in an instrumental regression framework. This model is an inverse problem with unknown operator. We provide a spectral cut-off estimation procedure which enables to derive oracle inequalities which warrants that our estimate, built without any prior knowledge, behaves as well as, up to $\log$ term, if the best model were known.

Keywords : Inverse Problems Instrumental Variables Model Selection Econometrics





Author: Jean-Michel Loubes - Clément Marteau -

Source: https://hal.archives-ouvertes.fr/



DOWNLOAD PDF




Related documents