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Censored regression quantiles with endogenous regressors

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  • Blundell, Richard
  • Powell, James L.

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  • Blundell, Richard & Powell, James L., 2007. "Censored regression quantiles with endogenous regressors," Journal of Econometrics, Elsevier, vol. 141(1), pages 65-83, November.
  • Handle: RePEc:eee:econom:v:141:y:2007:i:1:p:65-83
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    References listed on IDEAS

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    1. James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
    2. Chaudhuri, Probal, 1991. "Global nonparametric estimation of conditional quantile functions and their derivatives," Journal of Multivariate Analysis, Elsevier, vol. 39(2), pages 246-269, November.
    3. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
    4. Honore, Bo E. & Kyriazidou, Ekaterini & Udry, Christopher, 1997. "Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 107-128.
    5. Han Hong & Elie Tamer, 2003. "Inference in Censored Models with Endogenous Regressors," Econometrica, Econometric Society, vol. 71(3), pages 905-932, May.
    6. Richard W. Blundell & James L. Powell, 2004. "Endogeneity in Semiparametric Binary Response Models," Review of Economic Studies, Oxford University Press, vol. 71(3), pages 655-679.
    7. Moshe Buchinsky & Jinyong Hahn, 1998. "An Alternative Estimator for the Censored Quantile Regression Model," Econometrica, Econometric Society, vol. 66(3), pages 653-672, May.
    8. Chen, Songnian & Khan, Shakeeb, 2001. "Semiparametric Estimation Of A Partially Linear Censored Regression Model," Econometric Theory, Cambridge University Press, vol. 17(03), pages 567-590, June.
    9. Mitali Das & Whitney K. Newey & Francis Vella, 2003. "Nonparametric Estimation of Sample Selection Models," Review of Economic Studies, Oxford University Press, vol. 70(1), pages 33-58.
    10. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    11. Whitney K. Newey & James L. Powell & Francis Vella, 1999. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Econometrica, Econometric Society, vol. 67(3), pages 565-604, May.
    12. Richard Blundell & James L. Powell, 2001. "Endogeneity in nonparametric and semiparametric regression models," CeMMAP working papers CWP09/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    13. Khan, Shakeeb & Powell, James L., 2001. "Two-step estimation of semiparametric censored regression models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 73-110, July.
    14. Ahn, Hyungtaik & Powell, James L., 1993. "Semiparametric estimation of censored selection models with a nonparametric selection mechanism," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 3-29, July.
    15. Blundell, Richard & Smith, Richard J., 1994. "Coherency and estimation in simultaneous models with censored or qualitative dependent variables," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 355-373.
    16. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
    17. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
    18. Victor Chernozhukov & Christian Hansen, 2005. "An IV Model of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 73(1), pages 245-261, January.
    19. Richard W. Blundell & Richard J. Smith, 1989. "Estimation in a Class of Simultaneous Equation Limited Dependent Variable Models," Review of Economic Studies, Oxford University Press, vol. 56(1), pages 37-57.
    20. Chernozhukov, Victor & Hansen, Christian, 2006. "Instrumental quantile regression inference for structural and treatment effect models," Journal of Econometrics, Elsevier, vol. 132(2), pages 491-525, June.
    21. Hong H. & Chernozhukov V., 2002. "Three-Step Censored Quantile Regression and Extramarital Affairs," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 872-882, September.
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    Citations

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    Cited by:

    1. Chernozhukov, Victor & Fernández-Val, Iván & Kowalski, Amanda E., 2015. "Quantile regression with censoring and endogeneity," Journal of Econometrics, Elsevier, vol. 186(1), pages 201-221.
    2. Huber, Martin & Melly, Blaise, 2011. "Quantile Regression in the Presence of Sample Selection," Economics Working Paper Series 1109, University of St. Gallen, School of Economics and Political Science.
    3. Xiaofeng Lv & Rui Li, 2013. "Smoothed empirical likelihood analysis of partially linear quantile regression models with missing response variables," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(4), pages 317-347, October.
    4. repec:bla:jorssc:v:66:y:2017:i:1:p:159-185 is not listed on IDEAS
    5. Fortin, Nicole & Lemieux, Thomas & Firpo, Sergio, 2011. "Decomposition Methods in Economics," Handbook of Labor Economics, Elsevier.
    6. Khan, Shakeeb & Tamer, Elie, 2009. "Inference on endogenously censored regression models using conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 152(2), pages 104-119, October.
    7. repec:eee:jeborg:v:137:y:2017:i:c:p:113-131 is not listed on IDEAS
    8. Atella, Vincenzo & Pace, Noemi & Vuri, Daniela, 2008. "Are employers discriminating with respect to weight?: European Evidence using Quantile Regression," Economics & Human Biology, Elsevier, vol. 6(3), pages 305-329, December.
    9. Kamhon Kan & Chihwa Kao, 2005. "Simulation-Based Two-Step Estimation with Endogenous Regressors," Center for Policy Research Working Papers 76, Center for Policy Research, Maxwell School, Syracuse University.
    10. Jia-Young Michael Fu & Joel L. Horowitz & Matthias Parey, 2015. "Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions," CeMMAP working papers CWP68/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    11. Rothe, Christoph, 2009. "Semiparametric estimation of binary response models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 153(1), pages 51-64, November.
    12. Schmillen, Achim & Umkehrer, Matthias, 2013. "The scars of youth : effects of early-career unemployment on future unemployment experience," IAB Discussion Paper 201306, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    13. Cequera, Daniel & Klein, Gordon J., 2008. "Endogenous Firm Heterogeneity, ICT and R&D Incentives," ZEW Discussion Papers 08-126, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    14. Abi Adams & Richard Blundell & Martin Browning & Ian Crawford, 2015. "Prices versus preferences: taste change and revealed preference," IFS Working Papers W15/11, Institute for Fiscal Studies.
    15. Rothe, Christoph, 2009. "Identification of Unconditional Partial Effects in Non Separable Models," TSE Working Papers 09-054, Toulouse School of Economics (TSE).
    16. Juan Carlos Escanciano & Chuan Goh, 2010. "Specification Analysis of Structural Quantile Regression Models," Working Papers tecipa-415, University of Toronto, Department of Economics.
    17. Martin Huber & Blaise Melly, 2012. "A test of the conditional independence assumption in sample selection models," Working Papers 2012-11, Brown University, Department of Economics.

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