QUANTILE REGRESSION WITH MISMEASURED COVARIATES

Susanne M. Schennach

Econometric Theory, 2008, vol. 24, issue 04, pages 1010-1043

Abstract: This paper establishes that the availability of instrumental variables enables the identification and the consistent estimation of nonparametric quantile regression models in the presence of measurement error in the regressors. The proposed estimator takes the form of a nonlinear functional of derivatives of conditional expectations and is shown to provide estimated quantile functions that are uniformly consistent over a compact set.

Date: 2008

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:24:y:2008:i:04:p:1010-1043_08

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