Efficient estimation of a triangular system of equations for quantile regression

Sungwon Lee

Economics Letters, 2023, vol. 226, issue C

Abstract: This paper proposes a one-step sieve estimator of the parameter in the semiparametric triangular model for quantile regression of Lee (2007). The proposed estimator is a penalized sieve minimum distance (PSMD) estimator developed by Chen and Pouzo (2009). We develop the asymptotic theory for the PSMD estimator under a set of low-level conditions. The PSMD estimator is shown to be semiparametrically efficient, and the validity of a weighted bootstrap is established. A small Monte Carlo simulation study shows that our estimator performs well in finite samples.

Keywords: Quantile regression; Endogeneity; Sieve estimation; Semiparametric efficiency (search for similar items in EconPapers)
JEL-codes: C13 C14 C31 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:226:y:2023:i:c:s0165176523001106

DOI: 10.1016/j.econlet.2023.111085

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