Instrumental Variable Quantile Regression: A Robust Inference Approach

In this paper, we develop robust inference procedures for an instrumental variables model defined by Y = D′α(U) where D′α(U) is strictly increasing in U and U is a uniform variable that may depend onD but is independent of a set of instrumental variables Z. The proposed inferential procedures are computationally convenient in typical applications and can be carried out using software available for ordinary quantile regression. Our inferential procedure arises naturally from an estimation algorithm and has the important feature of being robust to weak and partial identification and remains valid even in cases where identification fails completely. The use of the proposed procedures is illustrated through two empirical examples.