JOURNAL ARTICLE

QUANTILE REGRESSION WITH MISMEASURED COVARIATES

Susanne M. Schennach

Year: 2008 Journal:   Econometric Theory Vol: 24 (4)Pages: 1010-1043   Publisher: Cambridge University Press

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.

Keywords:
Quantile regression Mathematics Covariate Quantile Estimator Econometrics Nonparametric statistics Statistics Instrumental variable Identification (biology) Observational error Conditional probability distribution

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Cited By
2.94
FWCI (Field Weighted Citation Impact)
33
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0.93
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Citation History

Topics

Monetary Policy and Economic Impact
Social Sciences →  Economics, Econometrics and Finance →  General Economics, Econometrics and Finance
Statistical Methods and Inference
Physical Sciences →  Mathematics →  Statistics and Probability
Italy: Economic History and Contemporary Issues
Social Sciences →  Economics, Econometrics and Finance →  Economics and Econometrics

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