Quantile Models with Endogeneity
Author(s)Chernozhukov, Victor V.; Hansen, C.
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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 & Hansen (2005). We illustrate the modeling assumptions through economically motivated examples. We also briefly review the literature on estimation and inference.
DepartmentMassachusetts Institute of Technology. Department of Economics
Annual Review of Economics
Chernozhukov, V., and C. Hansen. “Quantile Models with Endogeneity.” Annual Review of Economics 5, no. 1 (January 2013): 57-81.
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