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Instrumental Variable Quantile RegressionVictor ChernozhukovMassachusetts Institute of Technology (MIT) - Department of Economics; New Economic School Christian HansenUniversity 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 working papers seriesDate posted: June 19, 2006Suggested CitationContact Information
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