31 Pages Posted: 19 Jun 2006
Date Written: October 15, 2004
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: 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
By David Powell