publication . Article . Report . Research . Preprint . 2001

Quantile driven identification of structural derivatives

Andrew Chesher;
Open Access
  • Published: 01 Dec 2001
  • Country: United Kingdom
Abstract
Conditions are derived under which there is local nonparametric identification of derivatives of structural equations in nonlinear triangular simultaneous equations systems. The attack on this problem is via conditional quantile functions and exploits local quantile independence conditions. The identification conditions include local analogues of the order and rank conditions familiar in the analysis of linear simultaneous equations models. The objects whose identification is sought are derivatives of structural equations at a point defined by values of covariates and quantiles of the distributions of the stochastic drivers of the system. These objects convey in...
Subjects
arXiv: Statistics::MethodologyStatistics::Theory
free text keywords: DERIVATIVES, driven, IDENTIFICATION, structural, Nonparametric statistics, Nonlinear system, Mathematics, Simultaneous equations, Simultaneous equations model, Estimator, Quantile regression, Covariate, Mathematical optimization, Quantile, ddc:330
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publication . Article . Report . Research . Preprint . 2001

Quantile driven identification of structural derivatives

Andrew Chesher;