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Nonparametric instrumental variables estimation of a quantile regression model

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Author Info
Joel Horowitz () (Institute for Fiscal Studies and Northwestern University)
Sokbae 'Simon' Lee () (Institute for Fiscal Studies and University College London)

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Abstract

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.

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File URL: http://cemmap.ifs.org.uk/wps/cwp0906.pdf
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Publisher Info
Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP09/06.

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Length: 34 pp.
Date of creation: Jun 2006
Date of revision:
Handle: RePEc:ifs:cemmap:09/06

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Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
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Related research
Keywords: Statistical inverse endogenous variable instrumental variable optimal rate nonlinear integral equation nonparametric regression

Other versions of this item:

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Andrew Chesher, 2003. "Identification in Nonseparable Models," Econometrica, Econometric Society, vol. 71(5), pages 1405-1441, 09. [Downloadable!] (restricted)
  2. Darolles, S. & Florens, J.-P. & Renault, É., 2002. "Nonparametric Instrumental Regression," Cahiers de recherche 05-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
  3. Amemiya, Takeshi, 1982. "Two Stage Least Absolute Deviations Estimators," Econometrica, Econometric Society, vol. 50(3), pages 689-711, May. [Downloadable!] (restricted)
  4. DAROLLES, Serge & FLORENS, Jean-Pierre & RENAULT, Éric, 2002. "Nonparametric Instrumental Regression," Cahiers de recherche 2002-05, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
  5. Victor Chernozhukov & Christian Hansen, 2005. "An IV Model of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 73(1), pages 245-261, 01. [Downloadable!] (restricted)
  6. Powell, James L, 1983. "The Asymptotic Normality of Two-Stage Least Absolute Deviations Estimators," Econometrica, Econometric Society, vol. 51(5), pages 1569-75, September. [Downloadable!] (restricted)
  7. Whitney K. Newey & James L. Powell & Francis Vella, 1999. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Econometrica, Econometric Society, vol. 67(3), pages 565-604, May.
  8. Ma, Lingjie & Koenker, Roger, 2006. "Quantile regression methods for recursive structural equation models," Journal of Econometrics, Elsevier, vol. 134(2), pages 471-506, October. [Downloadable!] (restricted)
  9. Whitney K. Newey & James L. Powell, 2003. "Instrumental Variable Estimation of Nonparametric Models," Econometrica, Econometric Society, vol. 71(5), pages 1565-1578, 09. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Xiaohong Chen & Yingyao Hu, 2006. "Identification and Inference of Nonlinear Models Using Two Samples with Arbitrary Measurement Errors," Cowles Foundation Discussion Papers 1590, Cowles Foundation, Yale University. [Downloadable!]
  2. Xiaohong Chen & Demian Pouzo, 2008. "Estimation of nonparametric conditional moment models with possibly nonsmooth moments," CeMMAP working papers CWP12/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
  3. Xiaohong Chen & Demian Pouzo, 2008. "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments," Cowles Foundation Discussion Papers 1650, Cowles Foundation, Yale University, revised Oct 2008. [Downloadable!]
  4. Joel Horowitz & Sokbae 'Simon' Lee, 2007. "Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative," CeMMAP working papers CWP02/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
  5. Xiaohong Chen & Markus Reiss, 2007. "On Rate Optimality for Ill-posed Inverse Problems in Econometrics," Cowles Foundation Discussion Papers 1626, Cowles Foundation, Yale University. [Downloadable!]
  6. Xiaohong Chen & Demian Pouzo, 2008. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP09/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
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