Victor Chernozhukov, Christian Hansen, Kaspar Wuthrich
arXiv 28 Aug 2020 · Econometrics · 49 citations (OpenAlex)
arXiv:2009.00436 · PDF · DOI · OpenAlex · Extracted main text
This 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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Abadie, A., Angrist, J., Imbens, G (2002) Instrumental variables estimates of the effect of subsidized training on the quantiles of trainee earnings | 1.000 | 10 | 3 | 100% |
| 2 | Chernozhukov, V., Hansen, C (2005) An IV model of quantile treatment effects self | 1.000 | 9 | 5 | 100% |
| 3 | Imbens, G. W., Newey, W. K (2009) Identification and estimation of triangular simultaneous equations models without additivity | 1.000 | 8 | 3 | 100% |
| 4 | Chernozhukov, V., Hansen, C (2006) Instrumental quantile regression inference for structural and treatment effect models self | 0.874 | 8 | 2 | 100% |
| 5 | Andrews, I., Mikusheva, A (2016) Conditional inference with a functional nuisance parameter | 0.874 | 6 | 2 | 100% |
| 6 | Chernozhukov, V., Hansen, C (2008) Instrumental variable quantile regression: A robust inference approach self | 0.874 | 6 | 2 | 100% |
| 7 | Chernozhukov, V., Hansen, C., Jansson, M (2009) Finite sample inference for quantile regression models self | 0.737 | 3 | 2 | 100% |
| 8 | Chernozhukov, V., Hansen, C (2013) Quantile models with endogeneity self | 0.737 | 3 | 2 | 100% |
| 9 | Wüthrich, K (2014) A comparison of two quantile models with endogeneity, working Paper, Universität Bern, Department of Economics | 0.737 | 3 | 2 | 100% |
| 10 | Chernozhukov, V., Hong, H (2003) An mcmc approach to classical estimation self | 0.693 | 5 | 1 | 100% |
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