Nonparametric instrumental variable estimation of structural quantile effects

DOI10.3982/ECTA7937MaRDI QIDQ2859508zbMATH OpenFDO

Authors Patrick Gagliardini, Olivier Scaillet

Publication date 8 November 2013

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ECTA7937

zbMATH Keywords

ill-posed inverse problemsinstrumental variablenonlinear pricing curvenonparametric quantile regressionTikhonov regularization

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20)

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Cited in

(29)

• On nonlinear ill-posed inverse problems with applications to pricing of defaultable bonds and option pricing
• Inference approaches for instrumental variable quantile regression
• A closed-form estimator for quantile treatment effects with endogeneity
• Adaptive estimation for some nonparametric instrumental variable models with full independence
• Optimal linear instrumental variables approximations
• Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions
• Direct instrumental nonparametric estimation of inverse regression functions
• Quasi-Bayesian analysis of nonparametric instrumental variables models
• Adaptive nonparametric instrumental variables estimation: empirical choice of the regularization parameter
• Non parametric analysis of panel data models with endogenous variables
• Local structural quantile effects in a model with a nonseparable control variable
• Nonparametric instrumental variables estimation for efficiency frontier
• Orthogonal polynomials for seminonparametric instrumental variables model
• Instrumental quantile regression inference for structural and treatment effect models
• Nonparametric instrumental variable estimation in practice
• Estimation of Heterogeneous Individual Treatment Effects With Endogenous Treatments
• Iterative algorithm for non parametric estimation of the instrumental variables quantiles
• Posterior consistency of nonparametric conditional moment restricted models
• NONPARAMETRIC INSTRUMENTAL REGRESSION WITH ERRORS IN VARIABLES
• Specification testing in nonparametric instrumental quantile regression
• Honest confidence sets in nonparametric IV regression and other ill-posed models
• Nonparametric Instrumental Variables Estimation of a Quantile Regression Model
• Quantile analysis of ``hazard-rate game models
• Identification of multi-valued treatment effects with unobserved heterogeneity
• Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models
• A Comparison of Two Quantile Models With Endogeneity
• Estimation for conditional moment models based on martingale difference divergence
• Tikhonov regularization for nonparametric instrumental variable estimators
• Estimation in functional linear quantile regression

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