ON ILL-POSEDNESS OF
NONPARAMETRIC INSTRUMENTAL VARIABLE REGRESSION
UNDER CONVEXITY CONSTRAINTS
SCAILLET, O. *
* University of Geneva
and Swiss Finance Institute
Abstract
This note shows that adding monotonicity or convexity constraints on the regression function does not restore
well-posedness in nonparametric instrumental variable regression. The minimum distance problem without regularisation
is still locally ill-posed.
Keywords : Nonparametric Estimation, Instrumental Variable, Ill-Posed Inverse Problems.
JEL : C13, C14, C26.