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Sébastien Van Bellegem, CORE Print
Monday, 13 February 2012, 12:00 - 13:30

Sébastien Van Bellegem, CORE

Functional linear instrumental regression

In an increasing number of empirical studies, the dimensionality mea- sured e.g. as the number of variables in a model, can be very large. Two instances of large dimensional models are the linear regression with a large number of covariates and the estimation of a regression function with many instrumental variables. We will recall these examples in the talk by means of some examples. We also recall why classical least square or IV estimators behaves poorly in such large dimensional regression problems. An appropriate setting to analyze high dimensional problems is provided by a functional linear model, in which the covariates are a vector in Rp for large p (p can tend to infinity). More generally we consider that covariates belongs to some Hilbert space. We also consider the case where covariates are endogenous and assume the existence of instrumental variables (that are functional as well). In this talk we show that estimating the regression function is a linear ill-posed inverse problem, with a known but data-dependent operator. Our main contribution is to analyse the rate of convergence of the Tikhonov regularized estimator, when we premultiply the problem by an instrument dependent operator. This extends the technology of Generalized Method of Moments to functional (GMM) to functional data. We then discuss the optimal choice of the premultiplication operator and propose an extension of the notion of “weak instrument” to this nonparametric framework. The performance of the resulting nonparametric estimator is also studied through simulations.

Location: ULB R42.2.113
Contact: Claude Adan, This e-mail address is being protected from spam bots, you need JavaScript enabled to view it