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Quantile models with endogeneity

Authors: Victor Chernozhukov and Christian Hansen
Date: 31 August 2013
Type: Journal Article, Annual Review of Economics, Vol. 5, pp. 57--81
DOI: 10.1146/annurev-economics-080511-110952

Abstract

In this article, we review quantile models with endogeneity. We focus on models that achieve indentification 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.

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Victor Chernozhukov and Christian Hansen June 2013, Quantile models with endogeneity, cemmap Working Paper, CWP25/13, cemmap

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