Two-Stage Quantile Regression When The First Stage Is Based On Quantile Regression  

Oleh:

Tae-Hwan, Kim ; Muller, Christophe

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 7 no. 1 (Jun. 2004), page 218–231.
Topik: Two-stage estimation; Quantile regression; Endogeneity
Fulltext: 218.pdf (130.03KB)

Isi artikel

We present the asymptotic properties of double-stage quantile regression estimators with random regressors, where the first stage is based on quantile regressions with the same quantile as in the second stage, which ensures robustness of the estimation procedure. We derive invariance properties with respect to the reformulation of the dependent variable.We propose a consistent estimator of the variance–covariance matrix of the new estimator. Finally, we investigate finite sample properties of this estimator by using Monte Carlo simulations.

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