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Quantile Models with Endogeneity

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Author Info

  • V. Chernozhukov

    (Department of Economics, Massachusetts Institute of Technology, Cambridge, Massachusetts 02142)

  • C. Hansen

    ()
    (The University of Chicago Booth School of Business, Chicago, Illinois 60637)

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.

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Bibliographic Info

Article provided by Annual Reviews in its journal Annual Review of Economics.

Volume (Year): 5 (2013)
Issue (Month): 1 (05)
Pages: 57-81

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Handle: RePEc:anr:reveco:v:5:y:2013:p:57-81

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Related research

Keywords: identification; treatment effects; structural models; instrumental variables;

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References

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  1. Andrew Chesher & Adam Rosen & Konrad Smolinski, 2011. "An instrumental variable model of multiple discrete choice," CeMMAP working papers CWP06/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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Cited by:
  1. Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "Energy prices and CO2 emission allowance prices: A quantile regression approach," Working Papers 2014-185, Department of Research, Ipag Business School.

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