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Nonparametric Instrumental Variable Estimators of Structural Quantile Effects

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Author Info

  • Victor Chernozhukov

    (Massachusetts Institute of Technology)

  • Patrick Gagliardini

    (University of Lugano and Swiss Finance Institute)

  • Olivier Scaillet

    (University of Geneva and Swiss Finance Institute)

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 provide an empirical illustration to estimation of nonlinear pricing curves for telecommunications services in the U.S.

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Bibliographic Info

Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 08-03.

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Length: 93 pages
Date of creation: Dec 2006
Date of revision: Aug 2009
Handle: RePEc:chf:rpseri:rp0803

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Web page: http://www.SwissFinanceInstitute.ch
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Related research

Keywords: Nonparametric Quantile Regression; Instrumental Variable; Ill-Posed Inverse Problems; Tikhonov Regularization; Nonlinear Pricing Curve.;

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Cited by:
  1. Chen, Xiaohong & Pouzo, Demian, 2008. "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments," Working Papers 47, Yale University, Department of Economics.
  2. Xiaohong Chen & Demian Pouzo, 2008. "Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals," Cowles Foundation Discussion Papers 1650RR, Cowles Foundation for Research in Economics, Yale University, revised Jan 2011.
  3. Xiaohong Chen & Demian Pouzo, 2008. "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments," Cowles Foundation Discussion Papers 1650, Cowles Foundation for Research in Economics, Yale University, revised Oct 2008.
  4. Senay Sokullu, 2012. "Nonparametric Analysis of Two-Sided Markets," Bristol Economics Discussion Papers 12/628, Department of Economics, University of Bristol, UK.

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