Article

Iterative Algorithm for Non Parametric Estimation in Instrumental Variables Quantiles

Frédérique Fève, and Jean-Pierre Florens

Abstract

This paper proposes a simple algorithm for the numerical computation of the non parametric IV quantile estimation. This algorithm is based on the Landweber iterations for solving a nonlinear integral equation. The paper is illustrated by numerical simulations.

Keywords

Ill-posed integral equation; Landweber iteration; IV quantile; Kernel smoothing;

JEL codes

  • C14: Semiparametric and Nonparametric Methods: General

See also

Published in

Economics Letters, Elsevier, vol. 123, n. 3, June 2014, pp. 300–304