Quantile Models with Endogeneity

Posted: 7 Aug 2013

See all articles by Victor Chernozhukov

Victor Chernozhukov

Massachusetts Institute of Technology (MIT) - Department of Economics

Christian Hansen

University of Chicago - Booth School of Business - Econometrics and Statistics

Date Written: January 2013

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 & Hansen (2005). We illustrate the modeling assumptions through economically motivated examples. We also briefly review the literature on estimation and inference.

Suggested Citation

Chernozhukov, Victor and Hansen, Christian, Quantile Models with Endogeneity (January 2013). Annual Review of Economics, Vol. 5, pp. 57-81, 2013, Available at SSRN: https://ssrn.com/abstract=2306881 or http://dx.doi.org/10.1146/annurev-economics-080511-110952

Victor Chernozhukov (Contact Author)

Massachusetts Institute of Technology (MIT) - Department of Economics ( email )

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Room E52-262f
Cambridge, MA 02142
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HOME PAGE: http://www.mit.edu/~vchern/

Christian Hansen

University of Chicago - Booth School of Business - Econometrics and Statistics ( email )

Chicago, IL 60637
United States
773-834-1702 (Phone)

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