This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental variables (IV) model whose structural function is identified through a conditional quantile restriction. Quantile regression models are increasingly important in applied econometrics. As with...

Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called...

Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called...

Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called...

This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally mental variables estimator is pointwise asymptotically...

In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g say, is discontinuous and must be regularised (that is, modified) to make consistent estimation possible. The amount of modification is contolled by a regularisation parameter. The optimal...

This paper is concerned with inference about an unidentified linear function, L(g), where the function g satisfies the relation Y=g(X)+U; E(U |W)=0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X and U is an unobserved...

Given the key role of the taxable income elasticity in designing an optimal tax system there are many studies attempting to estimate this elasticity. To account for nonlinear taxes these studies either use instrumental variables approaches that are not fully consistent, or impose strong...

This paper develops a new method for estimating the demand function for gasoline and the deadweight loss due to an increase in the gasoline tax. The method is also applicable to other goods. The method uses shape restrictions derived from economic theory to improve the precision of a...

This paper is concerned with inference about an unidentified linear functional, L(g), where the function g satisfies the relation Y=g(x) + U; E(U/W) = 0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X, and U is an...