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Quantile Models with Endogeneity

Listed author(s):
  • 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)

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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File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-economics-080511-110952
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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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