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Nonparametric instrumental variables estimation of a quantile regression model
Horowitz, Joel; Lee, Sokbae - In: Econometrica : journal of the Econometric Society, an … 75 (2007) 4, pp. 1191-1208
Persistent link: https://www.econbiz.de/10003507401
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Nonparametric instrumental variable estimators of structural quantile effects
Chernozhukov, Victor; Gagliardini, Patrick; Scaillet, … - 2008
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...
Persistent link: https://www.econbiz.de/10003961394
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Robustness of bootstrap in instrumental variable regression
Camponovo, Lorenzo; Otsu, Taisuke - 2011
This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular …
Persistent link: https://www.econbiz.de/10009008183
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Nonparametric identification using instrumental variables : sufficient conditions for completeness
Hu, Yingyao; Shiu, Ji-liang - 2011
This paper provides sufficient conditions for the nonparametric identification of the regression function m(.) in a … regression model with an endogenous regressor x and an instrumental variable z. It has been shown that the identification of the … regression function from the conditional expectation of the dependent variable on the instrument relies on the completeness of …
Persistent link: https://www.econbiz.de/10009152610
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Nonparametric identification using instrumental variables : sufficient conditions for completeness
Hu, Yingyao; Shiu, Ji-Liang - 2011
This paper provides sufficient conditions for the nonparametric identification of the regression function m(.) in a … regression model with an endogenous regressor x and an instrumental variable z. It has been shown that the identification of the … regression function from the conditional expectation of the dependent variable on the instrument relies on the completeness of …
Persistent link: https://www.econbiz.de/10009230272
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Program evaluation with high-dimensional data
Belloni, Alexandre; Chernozhukov, Victor; … - 2015 - This version: September 20, 2015
delta method, and (3) provide results for sparsity-based estimation of regression functions for function-valued outcomes. …
Persistent link: https://www.econbiz.de/10011337681
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Nonparametric instrumental variable estimation of structural quantile effects
Gagliardini, Patrick; Scaillet, Olivier - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 4, pp. 1533-1562
Persistent link: https://www.econbiz.de/10009629521
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Bayesian nonparametric instrumental variable regression based on penalized splines and Dirichlet process mixtures
Wiesenfarth, Manuel; Hisgen, Carlos Matías; Kneib, Thomas - 2012
regression models where the covariate effects enter with unknown functional form. Bias correction relies on a simultaneous …
Persistent link: https://www.econbiz.de/10010358651
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Program evaluation with high-dimensional data
Belloni, Alexandre; Chernozhukov, Victor; … - 2013
) regression functions, also providing practical, theoretically justified penalty choices. Each of these results is new and could …
Persistent link: https://www.econbiz.de/10010227452
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Robustness of bootstrap in instrumental variable regression
Camponovo, Lorenzo; Otsu, Taisuke - 2014
Persistent link: https://www.econbiz.de/10010260046