Nonparametric Instrumental Variable Estimation of Structural Quantile Effects
研究了用Tikhonov正则化估计非可分离模型中结构分位数效应的渐近分布，基于最小距离原则，解决了局部不适定问题，并提供了模拟和电信定价的实证应用。
We study the asymptotic distribution of Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is locally ill-posed, and consider penalization by the norms of the parameter and its derivatives. We derive pointwise asymptotic normality and develop a consistent estimator of the asymptotic variance. We study the small sample properties via simulation results, and provice an empirical illustration to estimation of nonlinear pricing curves for telecommunications services in the U.S.