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Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence

Dunker, Fabian - 2015

In econometrics some nonparametric instrumental regression models and nonparametric demand models with endogeneity lead …

Persistent link: https://www.econbiz.de/10011392754

Nonparametric estimation of triangular simultaneous equations models under weak identification

Han, Sukjin - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 161-202

This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple … nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on … which weak identification is established. Then nonparametric weak instruments are defined as a sequence of reduced …

Persistent link: https://www.econbiz.de/10012202234

Examples of L2-complete and boundedly-complete distributions

Andrews, Donald W. K. - In: Journal of econometrics 199 (2017) 2, pp. 213-220

Persistent link: https://www.econbiz.de/10011897680

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

Chen, Xiaohong - 2011

This paper studies nonparametric estimation of conditional moment restrictions in which the generalized residual functions can be nonsmooth in the unknown functions of endogenous variables. This is a nonparametric nonlinear instrumental variables (IV) problem. We propose a class of penalized...

Persistent link: https://www.econbiz.de/10013130682

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

Chen, Xiaohong; Pouzo, Demian - 2009

This paper studies nonparametric estimation of conditional moment models in which the generalized residual functions can be nonsmooth in the unknown functions of endogenous variables. This is a nonparametric nonlinear instrumental variables (IV) problem. We propose a class of penalized sieve...

Persistent link: https://www.econbiz.de/10014206204

Chapter 77 Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization

Carrasco, Marine; Florens, Jean-Pierre; Renault, Eric - In: Handbook of econometrics : volume 6B, (pp. 5633-5751). 2007

Inverse problems can be described as functional equations where the value of the function is known or easily estimable but the argument is unknown. Many problems in econometrics can be stated in the form of inverse problems where the argument itself is a function. For example, consider a...

Persistent link: https://www.econbiz.de/10014024938

Averaging of moment condition estimators

Chen, Xiaohong; Jacho-Chàvez, David T.; Linton, Oliver - 2012

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √n– consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...

Persistent link: https://www.econbiz.de/10009620338

Partial Identification of Discrete Instrumental Variable Models using Shape Restrictions

Ishihara, Takuya - 2020

identification and estimation of the target parameter, which is a linear functional of the structural function. We include numerous … function approach and shape restrictions. Illustrative examples demonstrate that shape restrictions have identification power …

Persistent link: https://www.econbiz.de/10014092259

Instrumental variables estimation of a generalized correlated random coefficients model

Masten, Matthew; Torgovitsky, Alexander - 2014

We study identification and estimation of the average treatment effect in a correlated random coefficients model that … interactions between endogenous variables and covariates. Our identification approach is based on averaging the coefficients … identification strategy suggests a transparent and computationally straightforward estimator of a trimmed average treatment effect …

Persistent link: https://www.econbiz.de/10010227690

Optimal Sup-Norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation

Chen, Xiaohong; Christensen, Timothy - 2015

functionals in nonparametric demand estimation when prices, and possibly incomes, are endogenous. The second is to establish the …

Persistent link: https://www.econbiz.de/10014136704