Arbeitspapier
Nonparametric instrumental variables estimation of a quantile regression model
We consider nonparametric estimation of a regression function that is identified by requiring a specified quantile of the regression error conditional on an instrumental variable to be zero. The resulting estimating equation is a nonlinear integral equation of the first kind, which generates an ill-posed-inverse problem. The integral operator and distribution of the instrumental variable are unknown and must be estimated nonparametrically. We show that the estimator is mean-square consistent, derive its rate of convergence in probability, and give conditions under which this rate is optimal in a minimax sense. The results of Monte Carlo experiments show that the estimator behaves well in finite samples.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP09/06
Klassifikation
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Estimation: General
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Thema
Statistical inverse , endogenous variable , instrumental variable , optimal rate , nonlinear integral equation , nonparametric regression
Ereignis
Geistige Schöpfung
(wer)
Horowitz, Joel
Lee, Sokbae
Lee, Sokbae
Ereignis
Veröffentlichung
(wer)
Centre for Microdata Methods and Practice (cemmap)
(wo)
London
(wann)
2006
- DOI
-
doi:10.1920/wp.cem.2006.0906
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Horowitz, Joel
- Lee, Sokbae
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2006
Ähnliche Objekte (12)
Exact computation of GMM estimators for instrumental variable quantile regression models
Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative
Endogeneity quantile regression models: A control function approach
Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Estimation of nonparametric conditional moment models with possibly nonsmooth moments
Nonparametric estimation of an additive quantile regression model
Decentralization estimators for instrumental variable quantile regression models
Estimating panel data duration models with censored data
On rate optimality for ill-posed inverse problems in econometrics
Sparse quantile regression
Exact computation of GMM estimators for instrumental variable quantile regression models
Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative
Endogeneity quantile regression models: A control function approach
Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Estimation of nonparametric conditional moment models with possibly nonsmooth moments
Nonparametric estimation of an additive quantile regression model
Decentralization estimators for instrumental variable quantile regression models
Estimating panel data duration models with censored data
On rate optimality for ill-posed inverse problems in econometrics
Sparse quantile regression
Exact computation of GMM estimators for instrumental variable quantile regression models
Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative
Endogeneity quantile regression models: A control function approach
Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Estimation of nonparametric conditional moment models with possibly nonsmooth moments
Nonparametric estimation of an additive quantile regression model
Decentralization estimators for instrumental variable quantile regression models
Estimating panel data duration models with censored data
On rate optimality for ill-posed inverse problems in econometrics