We provide new methods for inference in econometric models where the parameter of interest is a set. These models arise in many situations where point identification requires strong (and sometimes untestable) assumptions. Every parameter vector in the set of interest represents a feasible...

Quantile regression (QR) methods fit a linear model for conditional quantiles, just as ordinary least squares (OLS) regression estimates a linear model for conditional means. An attractive feature of the OLS estimator is that it gives a minimum mean square error approximation to the conditional...