Instrumental Variable Quantile Regression

• Tác giả: Victor Chernozhukov, Christian Hansen, Kaspar Wuthrich
• Ngôn ngữ: eng
• Ký hiệu phân loại: 515.8 Functions of real variables
• Thông tin xuất bản: 2020
• Bộ sưu tập: Metadata
• ID: 165122

Tóm tắt

Comment: arXiv admin note: substantial text overlap with arXiv:1303.7050This chapter reviews the instrumental variable quantile regression model of Chernozhukov and Hansen (2005). We discuss the key conditions used for identification of structural quantile effects within this model which include the availability of instruments and a restriction on the ranks of structural disturbances. We outline several approaches to obtaining point estimates and performing statistical inference for model parameters. Finally, we point to possible directions for future research.