We develop methods for testing the hypothesis that an econometric model is underidentified and inferring the nature of the failed identification. By adopting a generalizedmethod of moments perspective, we feature directly the structural relations and we allow for nonlinearity in the econometric...

We introduce a class of quantile regression estimators for short panels. Our framework covers static and dynamic autoregressive models, models with general predetermined regressors, and models with multiple individual effects. We use quantile regression as a flexible tool to model the...

We develop a new quantile-based panel data framework to study the nature of income persistence and the transmission of income shocks to consumption. Log-earnings are the sum of a general Markovian persistent component and a transitory innovation. The persistence of past shocks to earnings is...

We develop a new quantile-based panel data framework to study the nature of income persistence and the transmission of income shocks to consumption. Log-earnings are the sum of a general Markovian persistent component and a transitory innovation. The persistence of past shocks to earnings is...

We propose a method to correct for sample selection in quantile regression models. Selection is modelled via the cumulative distribution function, or copula, of the percentile error in the outcome equation and the error in the participation decision. Copula parameters are estimated by minimizing...