Adaptive Estimation and Inference in Conditional Moment Models via the Discrepancy Principle
This provides a practical, theoretically grounded solution for adaptive inference in ill-posed econometric models, addressing a key bottleneck for researchers and practitioners in econometrics and related fields.
The paper tackles the problem of adaptive hyperparameter selection in ill-posed linear inverse problems with conditional moment restrictions, where existing methods require unknown smoothness parameters, by introducing a discrepancy-principle-based framework that automatically balances bias and variance, achieving optimal rates for estimation and inference without prior knowledge.
We study adaptive estimation and inference in ill-posed linear inverse problems defined by conditional moment restrictions. Existing regularized estimators such as Regularized DeepIV (RDIV) require prior knowledge of the smoothness of the nuisance function, typically encoded by a beta source condition to tune their regularization parameters. In practice, this smoothness is unknown, and misspecified hyperparameters can lead to suboptimal convergence or instability. We introduce a discrepancy-principle-based framework for adaptive hyperparameter selection that automatically balances bias and variance without relying on the unknown smoothness parameter. Our framework applies to both RDIV (Li et al. [2024]) and the Tikhonov Regularized Adversarial Estimator (TRAE) (Bennett et al. [2023a]) and achieves the same rates in both weak and strong metrics. Building on this, we construct a fully adaptive doubly robust estimator for linear functionals that attains the optimal rate of the better-conditioned primal or dual problem, providing a practical, theoretically grounded approach for adaptive inference in ill-posed econometric models.