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.
- Language
-
Englisch
- Bibliographic citation
-
Series: cemmap working paper ; No. CWP09/06
- Classification
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Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- Subject
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Statistical inverse , endogenous variable , instrumental variable , optimal rate , nonlinear integral equation , nonparametric regression
- Event
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Geistige Schöpfung
- (who)
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Horowitz, Joel
Lee, Sokbae
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
-
2006
- DOI
-
doi:10.1920/wp.cem.2006.0906
- Handle
- Last update
-
20.09.2024, 8:22 AM CEST
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Horowitz, Joel
- Lee, Sokbae
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2006
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