Chernozhukov, Victor; Fernández-Val, Iván; Newey, Whitney - 2017
heterogeneity. They are based on distribution and quantile regression modeling of the reduced-form conditional distributions of the … endogenous variables. We show that these models are flexible and identify the average, distribution and quantile structural … distribution regressions. We provide asymptotic theory and uniform inference methods for each stage. In particular, we derive …