Abstract

http://ssrn.com/abstract=909666
 
 

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Instrumental Variable Quantile Regression


Victor Chernozhukov


Massachusetts Institute of Technology (MIT) - Department of Economics; New Economic School

Christian Hansen


University of Chicago Graduate School of Business

October 15, 2004

MIT Department of Economics Working Paper No. 06-19

Abstract:     
The paper develops estimation and inference methods for econometric models with partial identification, focusing on models defined by moment inequalities and equalities. Main applications of this framework include analysis of game-theoretic models, regression with missing and mismeasured data, bounds in structural quantile models, and bounds in asset pricing, among others.

Number of Pages in PDF File: 31

Keywords: Set estimator, contour sets, moment inequalities, moment equalities

JEL Classification: C13, C14, C21, C41, C51, C53

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Date posted: June 19, 2006  

Suggested Citation

Chernozhukov, Victor and Hansen, Christian, Instrumental Variable Quantile Regression (October 15, 2004). MIT Department of Economics Working Paper No. 06-19. Available at SSRN: http://ssrn.com/abstract=909666 or http://dx.doi.org/10.2139/ssrn.909666

Contact Information

Victor Chernozhukov (Contact Author)
Massachusetts Institute of Technology (MIT) - Department of Economics ( email )
50 Memorial Drive
Room E52-262f
Cambridge, MA 02142
United States
617-253-4767 (Phone)
617-253-1330 (Fax)
HOME PAGE: http://www.mit.edu/~vchern/
New Economic School
47 Nakhimovsky Prospekt
Moscow, 117418
Russia
Christian Hansen
University of Chicago Graduate School of Business ( email )
Chicago, IL 60637
United States
773-834-1702 (Phone)
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References:  30
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