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

DOI10.1016/J.JECONOM.2019.04.004MaRDI QIDQ2330745zbMATH OpenOpenAlexFDO

Authors Xiaohong Chen, Demian Pouzo, James L. Powell

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

Abstract: 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 any estimator of its WAD. We first characterize the semiparametric efficiency bound for a WAD of a NPQIV, which, unfortunately, depends on an unknown conditional derivative operator and hence an unknown degree of ill-posedness, making it difficult to know if the information bound is singular or not. In either case, we propose a penalized sieve generalized empirical likelihood (GEL) estimation and inference procedure, which is based on the unconditional WAD moment restriction and an increasing number of unconditional moments that are implied by the conditional NPQIV restriction, where the unknown quantile function is approximated by a penalized sieve. Under some regularity conditions, we show that the self-normalized penalized sieve GEL estimator of the WAD of a NPQIV is asymptotically standard normal. We also show that the quasi likelihood ratio statistic based on the penalized sieve GEL criterion is asymptotically chi-square distributed regardless of whether or not the information bound is singular.

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Cited in

(3)

• Nonparametric weighted average quantile derivative
• Efficient estimation of average derivatives in NPIV models: simulation comparisons of neural network estimators
• MISE of wavelet estimators for regression derivatives with biased strong mixing data

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