Quantile models with endogeneity

Victor Chernozhukov and Christian Hansen

No CWP25/13, CeMMAP working papers from Centre for Microdata Methods and Practice, 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.

Keywords: identification; treatment effects; structural models; instrumental variables (search for similar items in EconPapers)
Date: 2013-06-03
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (39)

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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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