TWO-STAGE QUANTILE REGRESSION WHEN THE FIRST STAGE IS BASED ON QUANTILE REGRESSION

Christophe Muller and Tae-Hwan Kim ()

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: 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.

Keywords: Two-stage estimation; Quantile regression; Endogeneity. (search for similar items in EconPapers)
Pages: 19 pages
Date: 2004-01
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Citations: View citations in EconPapers (81)

Published by Ivie

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http://www.ivie.es/downloads/docs/wpasad/wpasad-2004-03.pdf Fisrt version / Primera version, 2004 (application/pdf)

Related works:
Journal Article: Two-stage quantile regression when the first stage is based on quantile regression (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2004-03

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