Nonparametric Instrumental Variable Estimation of Quantile Structural Effects

@inproceedings{Chernozhukov2008NonparametricIV,
  title={Nonparametric Instrumental Variable Estimation of Quantile Structural Effects},
  author={Victor Chernozhukov and Patrick Gagliardini and Olivier Scaillet},
  year={2008}
}
We study Tikhonov Regularized estimation of quantile structural e¤ects 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 locally ill-posed, and consider penalization by the norms of the parameter and its derivative. We derive the asymptotic Mean Integrated Square Error, the rate of convergence and the pointwise asymptotic normality under a regularization… CONTINUE READING
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