Instrumental Variable Quantile Regression
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
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