We are very grateful to Victor Chernozhukov, who was a co-author of the original version. We also thank him for providing the tightness argument for the consistency proof. We thank the editor and referees for helpful suggestions. We thank J. Hausman and G. Sidak for generously providing us with the data on telecommunications services in the United States. We are especially grateful to X. Chen for comments that have led to major improvements in the paper. We also thank G. Dhaene, R. Koenker, O. Linton, E. Mammen, M. Wolf, and seminar participants at Athens University, Zurich University, Bern University, Boston University, Queen Mary, Greqam Marseille, Mannheim University, Leuven University, Toulouse University, ESEM 2008, and SITE 2009 workshop for helpful comments. The authors acknowledge the support provided by the Swiss National Science Foundation through the National Center of Competence in Research: Financial Valuation and Risk Management (NCCR FINRISK).
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects
Version of Record online: 25 JUL 2012
© 2012 The Econometric Society
Volume 80, Issue 4, pages 1533–1562, July 2012
How to Cite
Gagliardini, P. and Scaillet, O. (2012), Nonparametric Instrumental Variable Estimation of Structural Quantile Effects. Econometrica, 80: 1533–1562. doi: 10.3982/ECTA7937
- Issue online: 25 JUL 2012
- Version of Record online: 25 JUL 2012
- Manuscript received May, 2008; final revision received September, 2011.
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