Instrumental Variable Quantile Regression
By Victor Chernozhukov, Christian Hansen. 2004
86 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/6ab6d416f722512d94e61d84de59d62f6d142031
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Isaiah Andrews
- A. Mikusheva
- Donald W. K. Andrews
- Patrik Guggenberger
- Peter C. B. Phillips
- Ji Hyung Lee
- Pierre Perron
- Tomoyoshi Yabu
In Statistics and Probability
- Isaiah Andrews
- A. Mikusheva
- Donald W. K. Andrews
- Patrik Guggenberger
- Peter C. B. Phillips
- Ji Hyung Lee
- Pierre Perron
- Tomoyoshi Yabu
Citations in the corpus
- Conditional Inference With a Functional Nuisance Parameter (2014, methodology): “In Jun (2008)’s simulations the test suggested by Chernozhukov and Hansen (2008) performed quite similarly to Jun’s AR test, so here we report results only for Jun’s tests.”
- Information Disclosure Policies: Evidence from the Electricity Industry (2007, unknown): “For instrumental variable QREG, we use the implementation by Chernozhukov and Hansen (2004) for estimation and inference.”