Instrumental variable quantile regression: A robust inference approach

Journal of Econometrics

Volumn 142, Issue 1, 2008, Pages 379-398

  Chernozhukov, Victor ^a   Hansen, Christian ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

Instrumental variables; Partial identification; Quantile regression; Weak instruments

Indexed keywords

INFERENCE ENGINES; MATHEMATICAL MODELS; REGRESSION ANALYSIS; SET THEORY;

INSTRUMENTAL VARIABLES; PARTIAL IDENTIFICATION; QUANTILE REGRESSION; WEAK INSTRUMENTS;

ROBUST CONTROL;

EID: 36148956717     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.06.005     Document Type: Article

References (46)

1. Abadie A., Angrist J., and Imbens G. Instrumental variables estimates of the effect of subsidized training on the quantiles of trainee earnings. Econometrica 70 1 (2002) 91-117
2. Ambrosetti A., and Prodi G. A primer of nonlinear analysis of Cambridge Studies in Advanced Mathematics vol. 34 (1995), Cambridge University Press, Cambridge
3. Amemiya T. The maximum likelihood and the nonlinear three-stage least squares estimator in the general nonlinear simultaneous equation model. Econometrica 45 4 (1977) 955-968
4. Amemiya T. Two stage least absolute deviations estimators. Econometrica 50 (1982) 689-711
5. Anderson T.W., and Rubin H. Estimation of the parameters of single equation in a complete system of stochastic equations. Annals of Mathematical Statistics 20 (1949) 46-63
6. Andrews D. Empirical Process Methods in Econometrics. In: Engle R., and McFadden D. (Eds). Handbook of Econometrics vol. 4 (1994), North Holland
7. Andrews D.W.K., Moreira M.J., and Stock J.H. Optimal two-sided invariant similar tests for instrumental variables regression. Econometrica 74 3 (2006) 715-752
8. Angrist J., Chernozhukov V., and Fernandez-Val I. Quantile regression under misspecification. Econometrica 74 2 (2006) 539-564
9. Autor, D.H., Houseman, S.N., Pekkala, S., 2006. The effect of temporary help and direct hire job placements on earnings and employment of low-skilled workers: quantile instrumental variables estimates. MIT mimeograph.
10. Bickel P.J., Klaassen C.A.J., Ritov Y., and Wellner J.A. Efficient and Adaptive Estimation for Semiparametric Models. Johns Hopkins Series in the Mathematical Sciences (1993), Johns Hopkins University Press, Baltimore, MD
11. Chaudhuri P., Doksum K., and Samarov A. On average derivative quantile regression. Annals of Statistics 25 2 (1997) 715-744
12. Chen L., and Portnoy S. Two-stage regression quantiles and two-stage trimmed least squares estimators for structural equation models. Communications in Statistics-Theory and Methods 25 5 (1996) 1005-1032
13. Chernozhukov, V., Hansen, C., 2001. An IV model of quantile treatment effects. Working Paper, Department of Economics, MIT.
14. Chernozhukov V., and Hansen C. The effects of 401(k) participation on the wealth distribution: an instrumental quantile regression analysis. Review of Economics and Statistics 86 3 (2004) 735-751
15. Chernozhukov V., and Hansen C. An IV model of quantile treatment effects. Econometrica 73 1 (2005) 245-262
16. Chernozhukov V., and Hansen C. Instrumental quantile regression inference for structural and treatment effect models. Journal of Econometrics 132 2 (2006) 491-525
17. Chevalier, A., Feinstein, L., 2005. Sheepskin or Prozac: the causual effect of education on mental health. Mimeograph.
18. Doksum K. Empirical probability plots and statistical inference for nonlinear models in the two-sample case. Annals of Statistics 2 (1974) 267-277
19. Ginsburgh, V., Prieto-Rodriguez, J., 2006. Returns to languages in EU labor markets. Mimeograph.
20. Graddy K. Testing for imperfect competition at the Fulton fish market. Rand Journal of Economics 26 1 (1995) 75-92
21. Gutenbrunner C., and Jurečková J. Regression rank scores and regression quantiles. Annals of Statistics 20 1 (1992) 305-330
22. Hausman J.A., and Sidak J.G. Why do the poor and the less-educated pay higher prices for long-distance calls?. Contributions to Economic Analysis and Policy 3 1 (2004). http://www.bepress.com/bejeap/contributions/vol3/iss1/art3 Article 3. 〈http://www.bepress.com/bejeap/contributions/vol3/iss1/art3〉
23. He X., and Zhu L. A lack-of-fit test for quantile regression. Journal of the American Statistical Association 98 464 (2003) 1013-1022
24. Januszewski, S.I., 2004. The effect of air traffic delays on airline prices. UCSD Working Paper. 〈http://weber.ucsd.edu/∼sjanusze/www/airtrafficdelays.pdf〉.
25. Jun, S.J., 2005. Weak Identification robust te sts in an instrumental quantile model. 〈http://www.econ.brown.edu/students/Sung_Jae_Jun/MySite/QuantileIVversion25png.pdf〉.
26. Jun, S.J., 2006. Testing with an indirect AR statistic in an endogenous quantile model. 〈http://www.econ.brown.edu/students/Sung_Jae_Jun/MySite/Local-Insts4.pdf〉.
27. Kleibergen F. Pivotal statistics for testing structural parameters in instrumental variables regression. Econometrica 70 (2002) 1781-1803
28. Kleibergen F. Testing parameters in GMM without assuming that they are identified. Econometrica 73 4 (2005) 1103-1124
29. 1 regression estimators under general conditions. Annals of Statistics 26 2 (1998) 755-770
30. Knight, K., 1999. Epi-convergence and stochastic equisemicontinuity. Preprint.
31. Koenker, R., 1994. Confidence intervals for regression quantiles. In: Asymptotic Statistics (Prague 1993). Physica, Heidelberg, pp. 349-359.
32. Koenker R., and Bassett G.S. Regression quantiles. Econometrica 46 (1978) 33-50
33. Koenker R., and Machado J.A.F. Goodness of fit and related inference processes for quantile regression. Journal of American Statistical Association 94 448 (1999) 1296-1310
34. Koenker R., and Portnoy S. L-estimation for linear models. Journal of American Statistical Association 82 399 (1987) 851-857
35. Kondylis, F., 2005. Agrigultural Returns and Conflict: Quasi-Experimental Evidence from a Policy Intervention Programme in Rwanda. CEP Discussion Paper No. 709.
36. Kuckulenz, A., Maier, M., 2006. Quantile treatment effects of continuing vocational training. Mimeograph.
37. Mas-Colell A. Homeomorphisms of compact convex sets, and the Jacobian matrix. SIAM Journal of Mathematical Analysis 10 6 (1979) 1105-1109
38. Maynard, A., Qiu, J., 2005. Public insurance and private savings: who is affected and by how much? Mimeograph.
39. Melly, B., 2005. Public and private sector wage distributions controlling for endogenous sector choice. Mimeograph.
40. Moreira M.J. A conditional likelihood ratio test for structural models. Econometrica 71 (2003) 1027-1048
41. Portnoy S. Asymptotic behavior of regression quantiles in nonstationary dependent cases. Journal of Multivariate Analysis 38 1 (1991) 100-113
42. Portnoy, S., 2001. Censored regression quantiles. Preprint, 〈www.stat.uiuc.edu〉.
43. Portnoy S., and Koenker R. The Gaussian hare and the Laplacian tortoise. Statistical Science 12 (1997) 279-300
44. Stock J.H., and Wright J.H. GMM with weak identification. Econometrica 68 5 (2000) 1055-1096
45. van der Vaart A.W. Asymptotic Statistics (1998), Cambridge University Press, Cambridge
46. van der Vaart A.W., and Wellner J.A. Weak Convergence and Empirical Processes (1996), Springer, New York