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[数量经济学研讨会]A Generalized Rank Test for Nonparametric IV Regression Models
发布日期:2017-11-01
数量经济学研讨会
[20171109]

报告题目:A Generalized Rank Test for Nonparametric IV Regression Models
报告人:徐吉良
报告时间:2017年11月9日中午12:30-13:30
报告地点:明德主楼729

内容简介:This paper provides a test for existence and identification of a solution for nonparametric instrumental variable models. A solution to the nonparametric instrumental variable model can be linked to the left invertibility of the corresponding integral operator. Based on the connection, we give necessary and sufficient conditions for existence of a unique solution and provide a uniformly invertible test statistic for existence and identification. The uniformly invertible test generalizes the rank test of the discrete case in Newey and Powell (2003). The test is consistent and can be used to test consistency of the proposed finite truncation nonparametric estimator. We investigate the finite sample properties of the test and estimator through a Monte Carlo study.
 
报告人简介:徐吉良,暨南大学经济与社会研究院副教授


数量经济教研室
运筹学与数量经济研究所
中国人民大学经济学院
2017年10月

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