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

DOI10.1016/j.jeconom.2019.04.004zbMath1456.62051arXiv1902.10100OpenAlexW2916913171MaRDI QIDQ2330745

Xiaohong Chen, James L. Powell, Demian Pouzo

Publication date: 23 October 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.10100

zbMATH Keywords

semiparametric efficiencyweighted average derivativeschi-square inferencenonparametric quantile instrumental variablespenalized sieve generalized empirical likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (2)

MISE of wavelet estimators for regression derivatives with biased strong mixing data ⋮ Efficient estimation of average derivatives in NPIV models: simulation comparisons of neural network estimators

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