On the Performance of Some Robust Instrumental Variables Estimators.

This article considers instrumental variables versions of the quantile and rank regression estimators. The asymptotic properties of the estimators are discussed, and a small-scale Monte Carlo study is used to illustrate the potential advantages of the approach. Finally, the proposed methods are implemented for two empirical examples.

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Year of publication:	2004
Authors:	Honore, Bo E ; Hu, Luojia
Published in:	Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 22.2004, 1, p. 30-39
Publisher:	American Statistical Association

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005532451