{"title":"On machine learning instrumental variable estimators","authors":"Edvard Bakhitov","doi":"10.1016/j.econlet.2025.112601","DOIUrl":null,"url":null,"abstract":"<div><div>This paper examines the practical challenges arising from the ill-posedness of the nonparametric instrumental variable (NPIV) estimation problem. We show that conventional NPIV series estimators struggle to estimate the underlying structural function with desired precision even in “moderate” dimensions. We argue that machine learning instrumental variable algorithms leverage sophisticated regularization techniques to mitigate these issues, achieving superior finite-sample performance.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"256 ","pages":"Article 112601"},"PeriodicalIF":1.8000,"publicationDate":"2025-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economics Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0165176525004380","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
This paper examines the practical challenges arising from the ill-posedness of the nonparametric instrumental variable (NPIV) estimation problem. We show that conventional NPIV series estimators struggle to estimate the underlying structural function with desired precision even in “moderate” dimensions. We argue that machine learning instrumental variable algorithms leverage sophisticated regularization techniques to mitigate these issues, achieving superior finite-sample performance.
期刊介绍:
Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.