Tikhonov Regularisation for Functional Minimum Distance Estimators

@inproceedings{Gagliardini2006TikhonovRF,
  title={Tikhonov Regularisation for Functional Minimum Distance Estimators},
  author={Patrick Gagliardini},
  year={2006}
}
We study the asymptotic properties of a Tikhonov regularised (TiR) estimator of a functional parameter based on a minimum distance principle for nonparametric conditional moment restrictions. The estimator is computationally tractable and even takes a closed form in the linear case. We derive its asymptotic Mean Integrated Squared Error (MISE), its rate of… CONTINUE READING