The Practice of Non Parametric Estimation by Solving Inverse Problems: The Example of Transformation Models
نویسنده
چکیده
This paper considers a semiparametric version of the transformation model φ(Y ) = β′ X + U under exogeneity or instrumental variables assumptions (E(U |X) = 0 or E(U |instruments ) = 0). This model is used as an example to illustrate the practice of the estimation by solving linear functional equations. This paper is specially focused on the data driven selection of the regularization parameter and of the bandwidths. Simulations experiments illustrate the relevance of this approach.
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