We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed frequency data. While in some cases the binding function is known, in general it is not, and therefore indirect inference is called for. The approach is appealing when we consider...

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...

We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov...