On the Performance of Some Robust Instrumental Variables Estimators

Bo E Honore and Luojia Hu

Journal of Business & Economic Statistics, 2004, vol. 22, issue 1, 30-39

Abstract: This article considers instrumental variables versions of the quantile and rank regression estimators. The asymptotic properties of the estimators are discussed, and a small-scale Monte Carlo study is used to illustrate the potential advantages of the approach. Finally, the proposed methods are implemented for two empirical examples.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:22:y:2004:i:1:p:30-39

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