Jad Beyhum, Lorenzo Tedesco, Ingrid Van Keilegom
arXiv 3 Sep 2022 · Econometrics · publishedEconometrics Journal (2023) · 1 citations (OpenAlex)
arXiv:2209.01429 · PDF · DOI · OpenAlex · Extracted main text
This paper studies a semiparametric quantile regression model with endogenous variables and random right censoring. The endogeneity issue is solved using instrumental variables. It is assumed that the structural quantile of the logarithm of the outcome variable is linear in the covariates and censoring is independent. The regressors and instruments can be either continuous or discrete. The specification generates a continuum of equations of which the quantile regression coefficients are a solution. Identification is obtained when this system of equations has a unique solution. Our estimation procedure solves an empirical analogue of the system of equations. We derive conditions under which the estimator is asymptotically normal and prove the validity of a bootstrap procedure for inference. The finite sample performance of the approach is evaluated through numerical simulations. An application to the national Job Training Partnership Act study illustrates the method.
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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 | Chernozhukov, V. and C. Hansen (2005) An IV model of quantile treatment effects | 0.941 | 6 | 3 | 83% |
| 2 | Wang, H. J. and L. Wang (2009) Locally weighted censored quantile regression | 0.928 | 4 | 3 | 100% |
| 3 | Frandsen, B. R (2015) Treatment effects with censoring and endogeneity | 0.737 | 3 | 2 | 100% |
| 4 | Honore, B., S. Khan, and J. L. Powell (2002) Quantile regression under random censoring | 0.737 | 3 | 2 | 100% |
| 5 | Khan, S. and E. Tamer (2009) Inference on endogenously censored regression models using conditional moment inequalities | 0.737 | 3 | 2 | 100% |
| 6 | Chernozhukov, V. and H. Hong (2002) Three-step censored quantile regression and extramarital affairs | 0.585 | 3 | 1 | 100% |
| 7 | Brown, D. J. and M. H. Wegkamp (2002) Weighted minimum mean-square distance from independence estimation | 0.511 | 2 | 2 | 50% |
| 8 | Newey, W. K. and D. McFadden (1994) Large sample estimation and hypothesis testing | 0.511 | 2 | 2 | 50% |
| 9 | Peng, L. and Y. Huang (2008) Survival analysis with quantile regression models | 0.511 | 2 | 1 | 100% |
| 10 | Poirier, A (2017) Efficient estimation in models with independence restrictions | 0.511 | 2 | 1 | 100% |
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