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Nonparametric Instrumental Variable Estimation of Structural Quantile effects

Chernozhukov, V.
Gagliardini, P.
Year 2008
Collection Cahiers de recherche; 2008.05
Abstract We study the asymptotic distribution of Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is locally ill-posed, and consider penalization by the norms of the parameter and its derivatives. We derive pointwise asymptotic normality and develop a consistent estimator of the asymptotic variance. We study the small sample properties via simulation results, and provice an empirical illustration to estimation of nonlinear pricing curves for telecommunications services in the U.S.
Keywords Nonparametric Quantile RegressionInstrumental VariableIll-Posed Inverse ProblemsTikhonov RegularizationNonlinear Pricing Curve
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CHERNOZHUKOV, V., GAGLIARDINI, P., SCAILLET, Olivier. Nonparametric Instrumental Variable Estimation of Structural Quantile effects. 2008 https://archive-ouverte.unige.ch/unige:5721

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Deposited on : 2010-04-15

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