A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression

Tae-Hwan Kim () and Christophe Muller

No 1522, AMSE Working Papers from Aix-Marseille School of Economics, France

Abstract: We study the fitted-value approach to quantile regression in the presence of endogeneity under a weakened form of the IV condition. In this context, we exhibit the possibility of a particular form of non-constant effect models with the fitted-value approach, a situation often believed to be ruled out. However, only the constant effect coefficients of the model can be consistently estimated. Finally, we discuss practical examples where this approach can be useful to avoid misspecification of quantile models.

Keywords: Two-Stage Estimation; quantile regression; fitted-value approach (search for similar items in EconPapers)
JEL-codes: C13 C21 C31 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2015-05, Revised 2015-05
New Economics Papers: this item is included in nep-ecm
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Working Paper: A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:aim:wpaimx:1522

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