This article proposes omnibus specification tests of parametric dynamic quantile regression models. Contrary to the existing procedures, we allow for a flexible and general specification framework where a possibly continuum of quantiles are simultaneously specified. This is the case for many...

This paper proposes a new strategy for the identification of all the marginal effects of an endogenous multi-valued variable (which can be continuous, or a vector) in a regression model with one binary instrumental variable. The unobservables must be separable from the endogenous variable of...