Report
OA Policy
English

Nonparametric Instrumental Variable Estimation of Structural Quantile effects

Collection
  • Cahiers de recherche; 2008.05
Publication date2008
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 Regression
  • Instrumental Variable
  • Ill-Posed Inverse Problems
  • Tikhonov Regularization
  • Nonlinear Pricing Curve
Citation (ISO format)
CHERNOZHUKOV, V., GAGLIARDINI, P., SCAILLET, Olivier. Nonparametric Instrumental Variable Estimation of Structural Quantile effects. 2008
Main files (1)
Report
accessLevelPublic
Identifiers
  • PID : unige:5721
567views
827downloads

Technical informations

Creation04/15/2010 12:19:28 PM
First validation04/15/2010 12:19:28 PM
Update time03/14/2023 3:26:19 PM
Status update03/14/2023 3:26:18 PM
Last indexation10/29/2024 2:21:24 PM
All rights reserved by Archive ouverte UNIGE and the University of GenevaunigeBlack