Instrumental Variable Quantile Regression
Massachusetts Institute of Technology (MIT) - Department of Economics; New Economic School
University of Chicago Graduate School of Business
October 15, 2004
MIT Department of Economics Working Paper No. 06-19
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
Date posted: June 19, 2006
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