EFFICIENT SEMIPARAMETRIC SEEMINGLY UNRELATED QUANTILE REGRESSION ESTIMATION
Sung Jae Jun () and
Econometric Theory, 2009, vol. 25, issue 5, 1392-1414
We propose an efficient semiparametric estimator for the coefficients of a multivariate linear regression modelâ€”with a conditional quantile restriction for each equationâ€”in which the conditional distributions of errors given regressors are unknown. The procedure can be used to estimate multiple conditional quantiles of the same regression relationship. The proposed estimator is asymptotically as efficient as if the true optimal instruments were known. Simulation results suggest that the estimation procedure works well in practice and dominates an equation-by-equation efficiency correction if the errors are dependent conditional on the regressors.
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