Frédérique Fève

The Practice of Non Parametric Estimation by Solving Inverse Problems: The Example of Transformation Models

. This model is used as an example to illustrate the practice of the estimation by solving linear functional equations. This paper is specially focused on the data-driven selection of the regularization parameter and of the bandwidths. Simulations experiments illustrate the relevance of this approach. Copyright (C) 2010 The Author(s). The Econometrics Journal (C) 2010 Royal Economic Society

Additive Nonparametric Instrumental Regressions: A Guide to Implementation

Abstract We present a review on the implementation of regularization methods for the estimation of additive nonparametric regression models with instrumental variables. We consider various versions of Tikhonov, Landweber-Fridman and Sieve (Petrov-Galerkin) regularization. We review data-driven techniques for the sequential choice of the smoothing and the regularization parameters. Through Monte Carlo simulations, we discuss the finite sample properties of each regularization method for different smoothness properties of the regression function. Finally, we present an application to the estimation of the Engel curve for food in a sample of rural households in Pakistan, where a partially linear specification is described that allows one to embed other exogenous covariates.

Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models

Consider a nonparametric nonseparable regression model Y = ϕ(Z, U), where ϕ(Z, U) is strictly increasing in U and U ∼ U[0, 1]. We suppose that there exists an instrument W that is independent of U. The observable random variables are Y, Z, and W, all one-dimensional. We construct test statistics for the hypothesis that Z is exogenous, that is, that U is independent of Z. The test statistics are based on the observation that Z is exogenous if and only if V = FY|Z(Y|Z) is independent of W, and hence they do not require the estimation of the function ϕ. The asymptotic properties of the proposed tests are proved, and a bootstrap approximation of the critical values of the tests is shown to be consistent and to work for finite samples via simulations. An empirical example using the U.K. Family Expenditure Survey is also given. As a byproduct of our results we obtain the asymptotic properties of a kernel estimator of the distribution of V, which equals U when Z is exogenous. We show that this estimator converges to the uniform distribution at faster rate than the parametric n− 1/2-rate.

Delivery Costs II

This paper presents several parametric log linear models for the outdoor delivery cost functions based on a survey of all the French delivery offices in 2001. The main empirical results derived from this set of estimations are the following:

Price Elasticities and Factors Driving International Contract Export Mail Sent from the UK to Western European Countries

In the economics literature traditional export demand functions in gravity models are a function of the exchange rate, economic activity and distance between countries. Models of this type provide a useful framework to examine international mail traffic. For example, Anson and Helble (2013) and Anson et al. (2014) have estimated international gravity models using econometric techniques and the latter have concluded that favorable exchange rate movements stimulated parcel dispatches within the Asia and Pacific region.