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Quantile models with endogeneity

Authors: Victor Chernozhukov and Christian Hansen
Date: 03 June 2013
Type: cemmap Working Paper, CWP25/13
DOI: 10.1920/wp.cem.2013.2513

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.

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Victor Chernozhukov and Christian Hansen August 2013, Quantile models with endogeneity, Journal Article, Annual Reviews

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