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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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    4. Wenjie Wang & Yichong Zhang, 2021. "Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters," Papers 2108.13707, arXiv.org, revised Jan 2024.
    5. Aluko, Olufemi Adewale & Opoku, Eric Evans Osei, 2022. "The financial development impact of financial globalization revisited: A focus on OECD countries," International Economics, Elsevier, vol. 169(C), pages 13-29.
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