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Instrumental variable estimation based on conditional median restriction

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  • Sakata, Shinichi

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 141 (2007)
Issue (Month): 2 (December)
Pages: 350-382

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Handle: RePEc:eee:econom:v:141:y:2007:i:2:p:350-382

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Thomas Mroz, . "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions," University of Chicago - Population Research Center, Chicago - Population Research Center 84-8, Chicago - Population Research Center.
  2. Donald W.K. Andrews, 1990. "Generic Uniform Convergence," Cowles Foundation Discussion Papers 940, Cowles Foundation for Research in Economics, Yale University.
  3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
  4. Krishnakumar, J. & Ronchetti, E., 1997. "Robust estimators for simultaneous equations models," Journal of Econometrics, Elsevier, Elsevier, vol. 78(2), pages 295-314, June.
  5. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, Elsevier, vol. 32(1), pages 143-155, June.
  6. L. Ingber, 1989. "Very fast simulated re-annealing," Lester Ingber Papers, Lester Ingber 89vf, Lester Ingber.
  7. Krasker, William S, 1986. "Two-Stage Bounded-Influence Estimators for Simultaneous-Equations Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 4(4), pages 437-44, October.
  8. Amemiya, Takeshi, 1982. "Two Stage Least Absolute Deviations Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(3), pages 689-711, May.
  9. Powell, James L, 1983. "The Asymptotic Normality of Two-Stage Least Absolute Deviations Estimators," Econometrica, Econometric Society, Econometric Society, vol. 51(5), pages 1569-75, September.
  10. Krasker, William S & Welsch, Roy E, 1985. "Resistant Estimation for Simultaneous-Equations Models Using Weighted Instrumental Variables," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1475-88, November.
  11. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, Econometric Society, vol. 54(6), pages 1435-60, November.
  12. Glahe, Fred R & Hunt, Jerry G, 1970. "The Small Sample Properties of Simultaneous Equation Least Absolute Estimators vis-a-vis Least Squares Estimators," Econometrica, Econometric Society, Econometric Society, vol. 38(5), pages 742-53, September.
  13. Pollard, David, 1985. "New Ways to Prove Central Limit Theorems," Econometric Theory, Cambridge University Press, vol. 1(03), pages 295-313, December.
  14. Prucha, Ingmar R & Kelejian, Harry H, 1984. "The Structure of Simultaneous Equation Estimators: A Generalization towards Nonnormal Disturbances," Econometrica, Econometric Society, Econometric Society, vol. 52(3), pages 721-36, May.
  15. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, Elsevier, vol. 101(1), pages 37-69, March.
  16. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, Econometric Society, vol. 46(1), pages 33-50, January.
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Cited by:
  1. Marmer, Vadim & Sakata, Shinichi, 2011. "Instrumental Variables Estimation and Weak-Identification-Robust Inference Based on a Conditional Quantile Restriction," Microeconomics.ca working papers, Vancouver School of Economics vadim_marmer-2011-26, Vancouver School of Economics, revised 28 Sep 2011.
  2. Tae-Hwan Kim, & Christophe Muller, 2012. "Bias Transmission and Variance Reduction in Two-Stage Quantile Regression," AMSE Working Papers 1221, Aix-Marseille School of Economics, Marseille, France.
  3. Juan Carlos Escanciano & Chuan Goh, 2010. "Specification Analysis of Structural Quantile Regression Models," Working Papers tecipa-415, University of Toronto, Department of Economics.
  4. Victor Chernozhukov & Christian Hansen, 2013. "Quantile models with endogeneity," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP25/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  5. Horowitz, Joel L. & Lee, Sokbae, 2009. "Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative," Journal of Econometrics, Elsevier, Elsevier, vol. 152(2), pages 141-152, October.
  6. Tae-Hwan Kim & Christophe Muller, 2013. "A Test for Endogeneity in Conditional Quantiles," AMSE Working Papers 1342, Aix-Marseille School of Economics, Marseille, France, revised Aug 2013.
  7. Tatiana Komarova & Thomas Severini & Elie Tamer, 2010. "Quantile uncorrelation and instrumental regression," LSE Research Online Documents on Economics 41949, London School of Economics and Political Science, LSE Library.
  8. Zhenlin Yang & Liangjun Su, 2007. "Instrumental Variable Quantile Estimation of Spatial Autoregressive Models," Working Papers 05-2007, Singapore Management University, School of Economics.
  9. Gilles Dufrenot & Valerie Mignon & Charalambos Tsangarides, 2010. "The trade-growth nexus in the developing countries: a quantile regression approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 146(4), pages 731-761, December.

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