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Type: Journal Articles Authors: Joel Horowitz and Sokbae 'Simon' Lee
Published in: Econometrica
Volume, issue, pages: Vol. 75, No. 4, pp. 1191-1208
Previous version: cemmap Working Papers [Details]
We consider nonparametric estimation of a regression function that is identified by requiring a specified quantile of the regression "error" conditional on an instrumental variable to be zero. The resulting estimating equation is a nonlinear integral equation of the first kind, which generates an ill-posed-inverse problem. The integral operator and distribution of the instrumental variable are unknown and must be estimated nonparametrically. We show that the estimator is mean-square consistent, derive its rate of convergence in probability, and give conditions under which this rate is optimal in a minimax sense. The results of Monte Carlo experiments show that the estimator behaves well in finite samples.
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