Recent work by Schennach (2005) has opened the way to a Bayesian treatment of quantile regression. Her method, called Bayesian exponentially tilted empirical likelihood (BETEL), provides a likelihood for data y subject only to a set of m moment conditions of the form Eg(y, ?) = 0 where ? is a k...

In this note we consider several versions of the bootstrap and argue that it is helpful in explaining and thinking about such procedures to use an explicit representation of the random resampling process. To illustrate the point we give such explicit representations and use them to produce some...

This paper explores the identifiability of ratios of derivatives of the index function in a model of a duration process in which the impact of covariates on the hazard function passes through a single index. The model allows duration and the index to appear in a nonseparable form in the hazard...

In additive error models with a discrete endogenous variable identification cannot be achieved under a marginal covariation condition when the support of instruments is sparse relative to the support of the endogenous variable. An iterated covariation condition with a weak montonicity...

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The ability to allow for flexible forms of unobserved heterogeneity is an essential ingredient in modern microeconometrics. In this paper we extend the application of instrumental variable (IV) models to a wide class of problems in which multiple values of unobservable variables can be...

We study models with discrete endogenous variables and compare the use of two stage least squares (2SLS) in a linear probability model with bounds analysis using a nonparametric instrumental variable model. 2SLS has the advantage of providing an easy to compute point estimator of a slope...

The ability to allow for flexible forms of unobserved heterogeneity is an essential ingredient in modern microeconometrics. In this paper we extend the application of instrumental variable (IV) methods to a wide class of problems in which multiple values of unobservable variables can be...

<p><p><p><p>Single equation instrumental variable models for discrete outcomes are shown to be set not point identifying for the structural functions that deliver the values of the discrete outcome. Identified sets are derived for a general nonparametric model and sharp set identification is demonstrated....</p></p></p></p>

The impact of covariate measurement error on quantile regression functions is investigated using a small variance approximation. The approximation shows how the error contaminated and error free quantile regression functions are related, a key factor being the distribution of the error free...