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Instrumental Variable Quantile Regression

31 Pages Posted: 19 Jun 2006  

Victor Chernozhukov

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

Christian Hansen

University of Chicago - Booth School of Business - Econometrics and Statistics

Date Written: October 15, 2004

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.

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

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

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: https://ssrn.com/abstract=909666 or http://dx.doi.org/10.2139/ssrn.909666

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

100A Novaya Street
Moscow, Skolkovo 143026
Russia

Christian Hansen

University of Chicago - Booth School of Business - Econometrics and Statistics ( email )

Chicago, IL 60637
United States
773-834-1702 (Phone)

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