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Quantile models with endogeneity

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  • Victor Chernozhukov
  • Christian Hansen

Abstract

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 and Hansen (2005). We illustrate the modelling assumptions through economically motivated examples. We also briefly review the literature on estimation and inference.

Suggested Citation

  • Victor Chernozhukov & Christian Hansen, 2013. "Quantile models with endogeneity," CeMMAP working papers 25/13, Institute for Fiscal Studies.
    • Handle: RePEc:azt:cemmap:25/13
    DOI: 10.1920/wp.cem.2013.2513
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    More about this item

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation

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