A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression

Tae-Hwan Kim () and Christophe Muller

No 2015rwp-82, Working papers from Yonsei University, Yonsei Economics Research Institute

Abstract: We study the fitted-value approach to quantile regression in the presence of endogeneity under a weakened form of IV condition. In this context, we exhibit the possibility of a particular form of non-constant effect models with the fitted-value approach, a situation often believed to be ruled out. However, only the constant effect coefficients of the model can be consistently estimated. Finally, we discuss practical examples where this approach can be useful to avoid misspecification of quantile models.

Keywords: Two-Stage Estimation; Quantile Regression; Fitted-Value Approach. (search for similar items in EconPapers)
JEL-codes: C13 C21 C31 (search for similar items in EconPapers)
Pages: 25pages
Date: 2015-06
New Economics Papers: this item is included in nep-ecm and nep-ore
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Working Paper: A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression (2015)
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