Nested Nonparametric Instrumental Variable Regression

Understand

Several causal parameters in short panel data models are functionals of a nested nonparametric instrumental variable regression (nested NPIV).

• Recent examples include mediated, time varying, and long term treatment effects identified using proxy variables.
• In econometrics, examples arise in triangular simultaneous equations and hedonic price systems.
• However, it appears that explicit mean square convergence rates for nested NPIV are unknown, preventing inference on some of these parameters with generic machine learning.