Frédérique Fève, and Jean-Pierre Florens, “Iterative Algorithm for Non Parametric Estimation in Instrumental Variables Quantiles”, Economics Letters, Elsevier, vol. 123, n. 3, June 2014, pp. 300–304.
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.
Ill-posed integral equation; Landweber iteration; IV quantile; Kernel smoothing;
- C14: Semiparametric and Nonparametric Methods: General