Quantile Models with Endogeneity
Posted: 7 Aug 2013
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: 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
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