作者：Horowitz, Joel L.; Lee, Sokbae
作者单位：Northwestern University; University of London; University College London
摘要：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, ...
作者：Qu, Zhongjun; Perron, Pierre
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Boston University
摘要：This paper considers issues related to estimation, inference, and computation with multiple structural changes that occur at unknown dates in a system of equations. Changes can occur in the regression coefficients and/or the covariance matrix of the errors. We also allow arbitrary restrictions on these parameters, which permits the analysis of partial structural change models, common breaks that occur in all equations, breaks that occur in a subset of equations, and so forth. The method of est...
