Two‐stage quantile regression when the first stage is based on quantile regression

DOI10.1111/j.1368-423X.2004.00128.xzbMath1053.62130OpenAlexW3121381193MaRDI QIDQ3156193

Christophe Muller, Tae-Hwan Kim

Publication date: 6 January 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00128.x

zbMATH Keywords

endogeneitytwo-stage estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05)

Related Items

Two‐stage quantile regression when the first stage is based on quantile regression, Endogeneity in quantile regression models: a control function approach, Two-stage Huber estimation, A robust test of exogeneity based on quantile regressions, Analysis of wildfires and their extremes via spatial quantile autoregressive model, A Bayesian two-stage regression approach of analysing longitudinal outcomes with endogeneity and incompleteness

Uses Software

• CAViaR

Cites Work

• Quantile regression, Box-Cox transformation model and the U.S. wage structure, 1963--1987
• Two‐stage quantile regression when the first stage is based on quantile regression
• L-estimatton for linear heteroscedastic models
• Instrumental Variables Estimates of the Effect of Subsidized Training on the Quantiles of Trainee Earnings