Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions
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DOI: 10.1016/j.jeconom.2019.04.004
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… read more here.
Keywords: penalized sieve; gel weighted; nonparametric quantile; gel ... See more keywords