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Quantile Models with Endogeneity

Author

Listed:
  • V. Chernozhukov

    (Department of Economics, Massachusetts Institute of Technology, Cambridge, Massachusetts 02142)

  • C. Hansen

    (The University of Chicago Booth School of Business, Chicago, Illinois 60637)

Abstract
In this article, we review quantile models with endogeneity. We focus on models that achieve identification through the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We discuss key conditions, which include monotonicity and full-rank-type conditions, in detail. In providing this review, we update the identification results of Chernozhukov & Hansen (2005). We illustrate the modeling assumptions through economically motivated examples. We also briefly review the literature on estimation and inference.

Suggested Citation

  • V. Chernozhukov & C. Hansen, 2013. "Quantile Models with Endogeneity," Annual Review of Economics, Annual Reviews, vol. 5(1), pages 57-81, May.
    • Handle: RePEc:anr:reveco:v:5:y:2013:p:57-81
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    More about this item

    Keywords

    identification; treatment effects; structural models; instrumental variables;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation

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