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Quantile models with endogeneity

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  • Victor Chernozhukov

    ()
    (Institute for Fiscal Studies and MIT)

  • Christian Hansen

    (Institute for Fiscal Studies and Chicago GSB)

Abstract

In this article, we review quantile models with endogeneity. We focus on models that achieve indentification 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 and Hansen (2005). We illustrate the modelling assumptions through economically motivated examples. We also briefly review the literature on estimation and inference.

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Bibliographic Info

Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP25/13.

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Date of creation: Jun 2013
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Handle: RePEc:ifs:cemmap:25/13

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

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Cited by:
  1. Shawkat Hammoudeh & Amine Lahiani & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "Energy prices and CO2 emission allowance prices: A quantile regression approach," NIPE Working Papers 06/2014, NIPE - Universidade do Minho.

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