منابع مشابه
Instrumental Variable Quantile Regression * †
Quantile regression is an increasingly important tool that estimates the conditional quantiles of a response Y given a vector of regressors D. It usefully generalizes Laplace’s median regression and can be used to measure the effect of covariates not only in the center of a distribution, but also in the upper and lower tails. For the linear quantile model defined by Y = D′γ(U) where D′γ(U) is s...
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This paper studies a statistical problem called instrumental variable quantile regression (IVQR). We model IVQR as a convex quadratic program with complementarity constraints and—although this type of program is generally NP-hard—we develop a branch-and-bound algorithm to solve it globally. We also derive bounds on key variables in the problem, which are valid asymptotically for increasing samp...
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In this paper, we develop robust inference procedures for an instrumental variables model defined by Y = D′α(U) where D′α(U) is strictly increasing in U and U is a uniform variable that may depend onD 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 ...
متن کاملSieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models∗
In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis functions and estimate them by the IVQR technique. We establish the uniform consistency and asymptotic nor...
متن کاملCensored Quantile Instrumental Variable Estimation with Stata
Many applications involve a censored dependent variable and an endogenous independent variable. Chernozhukov et al. (2015) introduced a censored quantile instrumental variable estimator (CQIV) for use in those applications, which has been applied by Kowalski (2016), among others. In this article, we introduce a Stata command, cqiv, that simplifes application of the CQIV estimator in Stata. We s...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.909666