This paper establishes that the availability of instrumental variables enables the identification and the consistent estimation of nonparametric quantile regression models in the presence of measurement error in the regressors. The proposed estimator takes the form of a nonlinear functional of...

While empirical likelihood has been shown to exhibit many of the properties of conventional parametric likelihoods, a formal probabilistic interpretation has so far been lacking. We show that a likelihood function very closely related to empirical likelihood naturally arises from a nonparametric...

In linear specifications, the bias due to the presence of measurement error in a regressor can be entirely avoided when either repeated measurements or instruments are available for the mismeasured regressor. The situation is more complex in nonlinear settings. While identification and root n...

Parameters defined via General Estimating Equations (GEE) can be estimated by maximizing the Empirical Likelihood (EL). Newey and Smith (2004) have recently shown that this EL estimator exhibits desirable higher-order asymptotic properties, namely, that its O(n^-1) bias is small and that...

Parameters defined via general estimating equations (GEE) can be estimated by maximizing the empirical likelihood (EL). Newey and Smith [Econometrica 72 (2004) 219--255] have recently shown that this EL estimator exhibits desirable higher-order asymptotic properties, namely, that its $O(n^{-1})$...

This paper establishes that so-called instrumental variables enable the identification and the estimation of a fully nonparametric regression model with Berkson-type measurement error in the regressors. An estimator is proposed and proven to be consistent. Its practical performance and...

This paper presents a solution to an important econometric problem, namely the root n consistent estimation of nonlinear models with measurement errors in the explanatory variables, when one repeated observation of each mismeasured regressor is available. While a root n consistent estimator has...