Quantile models with endogeneity

Victor Chernozhukov and Christian Hansen

No 25/13, CeMMAP working papers from Institute for Fiscal Studies

Abstract: In this article, we review quantile models with endogeneity. We focus on models that achieve identification through the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We discuss key conditions, which include monotonicity and full-rank-type conditions, in detail. In providing this review, we update the identification results of Chernozhukov and Hansen (2005). We illustrate the modelling assumptions through economically motivated examples. We also briefly review the literature on estimation and inference.

Date: 2013-06-03
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Quantile Models with Endogeneity (2013)
Working Paper: Quantile Models with Endogeneity (2013)
Working Paper: Quantile models with endogeneity (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:25/13

DOI: 10.1920/wp.cem.2013.2513

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