Instrumental Variable Quantile Regression
Econometrics
2020-09-02 v1
Abstract
This chapter reviews the instrumental variable quantile regression model of Chernozhukov and Hansen (2005). We discuss the key conditions used for identification of structural quantile effects within this model which include the availability of instruments and a restriction on the ranks of structural disturbances. We outline several approaches to obtaining point estimates and performing statistical inference for model parameters. Finally, we point to possible directions for future research.
Keywords
Cite
@article{arxiv.2009.00436,
title = {Instrumental Variable Quantile Regression},
author = {Victor Chernozhukov and Christian Hansen and Kaspar Wuthrich},
journal= {arXiv preprint arXiv:2009.00436},
year = {2020}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1303.7050