Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models

• Main Authors: SU, Liangjun, HOSHINA, Tadao
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Endogeneity; Functional coefficient; Heterogeneity; Instrumental variable; Panel data; Sieve estimation; Specification test; Structural quantile function; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1716; https://ink.library.smu.edu.sg/context/soe_research/article/2715/viewcontent/01_2015.pdf
• Institution: Singapore Management University

In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis functions...