Efficient Estimation of a Triangular System of Equations for Quantile Regression

Sungwon Lee ()
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Sungwon Lee: Department of Economics, Sogang University, Seoul, Korea

No 2301, Working Papers from Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)

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)
Pages: 18 pages
Date: 2023
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:sgo:wpaper:2301

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