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...

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...

At least since the mid-1970s, the emphasis in applied demand analysis has been on a flexible specification of substitution effects. Recent theoretical work by Cooper and McLaren (1992a, 1992b and 1996) and Cooper, McLaren and Parameswaran (1994) has put more emphasis on effectively globally...

Elasticities are often estimated from the results of demand analysis however, drawing inferences from them may involve assumptions that could influence the outcome. In this paper we investigate one of the most common forms of elasticity which is defined as a ratio of estimated relationships and...

This paper investigates how conditional quantiles of a given distribution relate to each other. Given two conditional quantiles estimated nonparametrically, we investigate their relation by linking them through a parametric transformation. Asymptotic normality of the associated parameter vector...

We study a Tikhonov Regularized (TiR) estimator of a functional parameter identified by conditional moment restrictions in a linear model with both exogenous and endogenous regressors. The nonparametric instrumental variable estimator is based on a minimum distance principle with penalization by...

We study identification and estimation in a binary response model with random coefficients B allowed to be correlated with regressors X. Our objective is to identify the mean of the distribution of B and estimate a trimmed mean of this distribution. Like Imbens and Newey (2009), we use...

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...

We study the asymptotic properties of a Tikhonov Regularized (TiR) estimator of a functional parameter based on a minimum distance principle for nonparametric conditional moment restrictions. The estimator is computationally tractable and takes a closed form in the linear case. We derive its...

This paper contains estimates made in 1977 of the elasticity of substitution between domestically produced and imported commodities at the four digit level of the Australian ASIC commodity classification then in use. The data upon which the estimates were based included series specially...