Journal
JOURNAL OF ECONOMETRICS
Volume 142, Issue 1, Pages 379-398Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2007.06.005
Keywords
quantile regression; instrumental variables; weak instruments; partial identification
Ask authors/readers for more resources
In this paper, we develop robust inference procedures for an instrumental variables model defined by Y = D'alpha(U) where D'alpha(U) is strictly increasing in U and U is a uniform variable that may depend on D but is independent of a set of instrumental variables Z. The proposed inferential procedures are computationally convenient in typical applications and can be carried out using software available for ordinary quantile regression. Our inferential procedure arises naturally from an estimation algorithm and has the important feature of being robust to weak and partial identification and remains valid even in cases where identification fails completely. The use of the proposed procedures is illustrated through two empirical examples. (C) 2007 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available