On the Performance of Some Robust Instrumental Variables Estimators
Publication Year
2004
Type
Journal Article
Abstract
This article considers instrumental variables versions of the quantile and rank regression estimators. The asymptotic properties of the estimators are discussed, and a small-scale Monte Carlo study is used to illustrate the potential advantages of the approach. Finally, the proposed methods are implemented for two empirical examples.
Keywords
Journal
Journal of Business and Economic Statistics
Volume
22
Issue
1
Pages
30-39
Date Published
01/2004
ISBN
07350015
Accession Number: 0677395 . Keywords: Instrumental Variables; Regression. Geographic Descriptors: S. Africa; U.S.. Publication Type: Journal Article. Update Code: 200403