Quantile Models with Endogeneity

TL;DR

This paper reviews quantile models with endogeneity, focusing on identification via instrumental variables, updating key results, and illustrating assumptions with economic examples.

Contribution

It provides an updated review of identification conditions for quantile models with endogeneity, emphasizing instrumental variable approaches and economic applications.

Findings

Updated identification results for quantile models with endogeneity

Detailed conditions for partial and point identification

Illustrations with economically motivated examples

Abstract

In this article, we review quantile models with endogeneity. We focus on models that achieve identification through the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We discuss key conditions, which include monotonicity and full-rank-type conditions, in detail. In providing this review, we update the identification results of Chernozhukov and Hansen (2005, Econometrica). We illustrate the modeling assumptions through economically motivated examples. We also briefly review the literature on estimation and inference. Key Words: identification, treatment effects, structural models, instrumental variables