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Instrumental Variable Quantile Regression

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  • Victor Chernozhukov
  • Christian Hansen
  • Kaspar Wuthrich

Abstract

This chapter reviews the instrumental variable quantile regression model of Chernozhukov and Hansen (2005). We discuss the key conditions used for identification of structural quantile effects within this model which include the availability of instruments and a restriction on the ranks of structural disturbances. We outline several approaches to obtaining point estimates and performing statistical inference for model parameters. Finally, we point to possible directions for future research.

Suggested Citation

  • Victor Chernozhukov & Christian Hansen & Kaspar Wuthrich, 2020. "Instrumental Variable Quantile Regression," Papers 2009.00436, arXiv.org.
  • Handle: RePEc:arx:papers:2009.00436
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    References listed on IDEAS

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    Cited by:

    1. Jun Ma & Vadim Marmer & Zhengfei Yu, 2021. "Inference on Individual Treatment Effects in Nonseparable Triangular Models," Papers 2107.05559, arXiv.org, revised Jul 2021.

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