UNIGE document Scientific Article
previous document  unige:79890  next document
add to browser collection

Nonparametric Instrumental Variable Estimation of Structural Quantile Effects

Gagilardini, Patrick
Published in Econometrica. 2012, vol. 80, no. 4, p. 1533-1562
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 min- imum distance problem without regularization is locally ill-posed, and we 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 provide an empirical illustration of estimation of nonlinear pricing curves for telecommunications services in the United States.
Keywords Nonparametric quantile regressionInstrumental variableIll-posed inverse problemsTikhonov regularizationNonlinear pricing curve
Full text
Article (Accepted version) (287 Kb) - public document Free access
Research group Geneva Finance Research Institute (GFRI)
(ISO format)
SCAILLET, Olivier, GAGILARDINI, Patrick. Nonparametric Instrumental Variable Estimation of Structural Quantile Effects. In: Econometrica, 2012, vol. 80, n° 4, p. 1533-1562. doi: 10.3982/ECTA7937 https://archive-ouverte.unige.ch/unige:79890

382 hits



Deposited on : 2016-01-22

Export document
Format :
Citation style :