Literature on IV quantile regression

In the last months I have read intensively about quantile regression in preparation for my master thesis this summer. Specifically I have read most of Roger Koenker’s 2005 book on the topic. Now I want to expand this existing knowledge to quantile regression techniques that allow for instrumental variables (IV). This seems to be an active field of research which is growing at a fast pace.

Can maybe someone suggest to me:

  • papers or other literature on IV quantile regression
  • a short overview of these different statistical techniques
  • the pros and cons of different techniques

I’m looking mainly for literature to get me started and to have a good overview of what is out there. So the first point is the important one. The second and third would be nice to have! Also my interest lies mainly on the cross-sectional methods but also panel-methods are welcome.

Thanks in advance.

Answer

I would take a gander at the 7 Chernozhukov and Hansen IVQR papers. The 2005 paper is often cited. They also provide links to data and code in MATLAB, OX and Stata.

Another frequently cited paper in this literature is Abadie, Angrist, and Imbens (2002).

Frolich and Melly (2010) and Kwak (2010) are also worth checking out, especially if you use Stata. Both provide code.

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Source : Link , Question Author : AlexH , Answer Author : dimitriy

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