Nonparametric Instrumental Variable Estimation of Structural Quantile Effects

• 成果类型: Article
• 署名作者: Gagliardini, Patrick; Scaillet, Olivier
• 署名单位: Universita della Svizzera Italiana; University of Geneva
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA7937
• 发表日期: 2012
• 页码: 1533-1562
• 关键词: CONVERGENCE-RATES; regularization; EQUATIONS

摘要

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 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.