Triangular systems with nonadditively separable unobserved heterogeneity provide a theoretically appealing framework for the modeling of complex structural relationships. However, they are not commonly used in practice due to the need for exogenous variables with large support for...

We present the clrbound, clr2bound, clr3bound, and clrtest commands for estimation and inference on intersection bounds as developed by Chernozhukov, Lee, and Rosen (2013, Econometrica 81: 667–737). The intersection bounds framework encompasses situations where a population parameter of...

We propose robust methods for inference about the effect of a treatment variable on a scalar outcome in the presence of very many regressors in a model with possibly non-Gaussian and heteroscedastic disturbances. We allow for the number of regressors to be larger than the sample size. To make...

In this paper we develop a new censored quantile instrumental variable (CQIV) estimator and describe its properties and computation. The CQIV estimator combines Powell (1986) censored quantile regression (CQR) to deal with censoring, with a control variable approach to incorporate endogenous...

Data with a large number of variables relative to the sample size?"high-dimensional data"?are readily available and increasingly common in empirical economics. High-dimensional data arise through a combination of two phenomena. First, the data may be inherently high dimensional in that many...

Quantile regression(QR) fits a linear model for conditional quantiles, just as ordinary least squares (OLS) fits a linear model for conditional means. An attractive feature of OLS is that it gives the minimum mean square error linear approximation to the conditional expectation function even...

Under minimal assumptions, finite sample confidence bands for quantile regression models can be constructed. These confidence bands are based on the "conditional pivotal property" of estimating equations that quantile regression methods solve and provide valid finite sample inference for linear...

Most economic analyses presume that there are limited differences in the prior beliefs of individuals, as assumption most often justified by the argument that sufficient common experiences and observations will eliminate disagreements. We investigate this claim using a simple model of Bayesian...