Endogeneity in quantile regression models: a control function approach

DOI10.1016/J.JECONOM.2007.01.014MaRDI QIDQ289205zbMATH OpenOpenAlexFDO

Authors Sokbae Lee

Publication date 27 May 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://discovery.ucl.ac.uk/14694/1/14694.pdf

zbMATH Keywords

endogeneityquantile regressionseries estimationpartially linear regression

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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Cites work

• An IV Model of Quantile Treatment Effects
• Censored regression quantiles
• Censored regression quantiles with endogenous regressors
• Convergence rates and asymptotic normality for series estimators
• EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL
• Endogeneity in Semiparametric Binary Response Models
• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
• Identification and estimation of triangular simultaneous equations models without additivity
• Identification in Nonseparable Models
• Inference in Censored Models with Endogenous Regressors
• Instrumental Variables Estimates of the Effect of Subsidized Training on the Quantiles of Trainee Earnings
• Instrumental quantile regression inference for structural and treatment effect models
• Instrumental values
• Least absolute deviations estimation for the censored regression model
• Monotone B-Spline Smoothing
• Nonparametric Estimation of Triangular Simultaneous Equations Models
• Nonparametric Identification under Discrete Variation
• Nonparametric estimates of regression quantiles and their local Bahadur representation
• On M-processes and M-estimation
• Quantile regression methods for recursive structural equation models
• Regression Quantiles
• Root-N-Consistent Semiparametric Regression
• Semiparametric Regression
• The Asymptotic Normality of Two-Stage Least Absolute Deviations Estimators
• Two Stage Least Absolute Deviations Estimators
• Two‐stage quantile regression when the first stage is based on quantile regression
• Weak convergence and empirical processes. With applications to statistics

Cited in

(34)

• Smoothed empirical likelihood analysis of partially linear quantile regression models with missing response variables
• Inconsistency transmission and variance reduction in two-stage quantile regression
• Estimating a class of triangular simultaneous equations models without exclusion restrictions
• Quasi-maximum likelihood estimation and testing for nonlinear models with endogenous explanatory variables
• A first-stage representation for instrumental variables quantile regression
• An instrumental variable approach under dependent censoring
• A closed-form estimator for quantile treatment effects with endogeneity
• On the equivalence of instrumental variables estimators for linear models
• Estimation of counterfactual distributions with a continuous endogenous treatment
• Local partitioned quantile regression
• Local structural quantile effects in a model with a nonseparable control variable
• Multiplicative-error models with sample selection
• Weak identification robust tests in an instrumental quantile model
• Identification and estimation of triangular models with a binary treatment
• Efficient estimation of a triangular system of equations for quantile regression
• Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality
• Semiparametric estimation of partially linear transformation models under conditional quantile restriction
• Social Interactions with Endogeneity
• Counterfactual distributions of wages via quantile regression with endogeneity
• Quantile approach to intertemporal consumption with multiple assets
• A robust test of exogeneity based on quantile regressions
• Short panel data quantile regression model with flexible correlated effects
• Two-step series estimation and specification testing of (partially) linear models with generated regressors
• Estimating endogenous ordered response panel data models with an application to income gradient in child health
• Heterogeneous endogeneity
• Quantile regression with censoring and endogeneity
• Semiparametric estimation of binary response models with endogenous regressors
• Nonparametric two-step sieve M estimation and inference
• Identification of quantile regression models with endogeneity
• A simple quantile regression model linking micro outcomes to macro covariates
• Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative
• A control function approach to estimating dynamic probit models with endogenous regressors
• Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions
• Quantile regression estimation of partially linear additive models

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