Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions

Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions

This paper considers estimation and inference for a weighted average derivative (WAD) of a nonparametric quantile instrumental variables regression (NPQIV). NPQIV is a non-separable and nonlinear ill-posed inverse problem, which might be why there is no published work on the asymptotic properties of...

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Bibliographic Details
Main Authors: Chen, X. (Author), Pouzo, D. (Author), Powell, J.L (Author)
Format: Article
Language:English
Published: Elsevier Ltd 2019
Subjects:
Chi-square inference
Efficiency
Empirical likelihood
Instrumental variables
Inverse problems
Nonparametric quantile instrumental variables
Penalized sieve generalized empirical likelihood
Semiparametric efficiency
Sieves
Statistical methods
Weighted average derivatives
Weighted averages
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