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On the Performance of Some Robust Instrumental Variables Estimators

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  • Honore, Bo E
  • Hu, Luojia

Abstract

This article considers instrumental variables versions of the quantile and rank regression estimators. The asymptotic properties of the estimators are discussed, and a small-scale Monte Carlo study is used to illustrate the potential advantages of the approach. Finally, the proposed methods are implemented for two empirical examples.

Suggested Citation

  • Honore, Bo E & Hu, Luojia, 2004. "On the Performance of Some Robust Instrumental Variables Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 30-39, January.
    • Handle: RePEc:bes:jnlbes:v:22:y:2004:i:1:p:30-39
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