Chernozhukov, Victor and Christian Hansen , "Instrumental Variable Quantile Regres- sion," MIT Department of Economics working paper no. 06-19 (2004a).Chernozhukov, V., and Hansen, C. (2008), "Instrumental Variable Quantile Regression: A Robust Inference Approach," Journal of Econometrics, 142...
To reduce this bias, we propose the instrumental variable quantile regression (IVQR) estimator with lagged covariates in spatial and time as instruments. Under some regular conditions, the consistency and asymptotic normalityof the estimators are derived. Monte Carlo simulations show that our estimators...
We show that the generalized method of moments (GMM) estimation problem in instrumental variable quantile regression (IVQR) models can be equivalently formulated as a mixed integer quadratic programming problem. This enables exact computation of the GMM estimators for the IVQR models. We illustrate ...
Using instrumental variable quantile regression to control for endogeneity in per capita income, we find that greater freedom of the media improves gender equality only in the 0.25 and 0.50 quantiles of the conditional distribution. Countries with the greatest disparities in gender outcomes experience ...
We describe an estimator of the instrumental variable quantile regression process and the set of inference procedures derived from it. We focus our discussion of inference on tests of distributional equality, constancy of efiects, conditional dominance, and exogeneity. We apply the procedures to ...
ivregress — Single-equation instrumental-variables regression 17 Koopmans, T. C., and J. Marschak. 1950. Statistical Inference in Dynamic Economic Models. New York: Wiley. Kripfganz, S., and V. Sarafidis. 2021. Instrumental-variable estimation of large-T panel-data models with common ...
The estimation uses a new instrumental variable (IV) method that measures program impacts on quantiles. The quantile treatment effects (QTE) estimator reduces to quantile regression when selection for treatment is exogenously determined. QTE can be computed as the solution to a convex linear ...
Retrospectives Who Invented Instrumental Variable Regression? This feature addresses the history of economic words and ideas. The hope is to deepen the workaday dialogue of economists, while perhaps also casting new light on ongoing questions. If you have suggestions for future topics or authors, p...
Instrumental variables: This involves identifying a variable that is correlated with the treatment variable but otherwise independent of the outcome. This variable can then be employed within a two-stage least squared (2SLS) regression. The difficulty lies in finding a suitable variable, since “weak...
Employing the special characteristic of the binary IV and adapting the principle of conditional score, we uncover a simple weighting scheme that can be incorporated into the standard censored quantile regression procedure to estimate CQCE. We develop robust non﹑arametric estimation of the derived ...