Small sample behaviour of quantile estimators

Daniel Miles

Applied Economics Letters, 2002, vol. 9, issue 14, 911-913

Abstract: The Koenker and D'Orey (Econometrica, 46, pp. 43-61, 1987) algorithm is compared with the Minimum Distance estimator proposed by Buchinsky (Econometrica, 62, pp. 405-58, 1994) to estimate the parameters of conditional quantiles specified as linear models.

Date: 2002
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DOI: 10.1080/13504850210137794

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