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Two-stage quantile regression when the first stage is based on quantile regression

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  • Tae-Hwan Kim
  • Christophe Muller

Abstract

We present the asymptotic properties of double-stage quantile regression estimators with random regressors, where the first stage is based on quantile regressions with the same quantile as in the second stage, which ensures robustness of the estimation procedure. We derive invariance properties with respect to the reformulation of the dependent variable. We propose a consistent estimator of the variance--covariance matrix of the new estimator. Finally, we investigate finite sample properties of this estimator by using Monte Carlo simulations. Copyright Royal Economic Socciety 2004

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 7 (2004)
Issue (Month): 1 (06)
Pages: 218-231

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Handle: RePEc:ect:emjrnl:v:7:y:2004:i:1:p:218-231

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References

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  1. Alberto Abadie & Joshua Angrist & Guido Imbens, 1999. "Instrumental Variables Estimates of the Effect of Subsidized Training on the Quantiles of Trainee Earnings," Working papers 99-16, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Frank Cowell & Emmanuel Flachaire, 2002. "Sensitivity of inequality measures to extreme values," LSE Research Online Documents on Economics 2213, London School of Economics and Political Science, LSE Library.
  3. Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(05), pages 793-813, December.
  4. José A. F. Machado & José Mata, 2001. "Earning functions in Portugal 1982-1994: Evidence from quantile regressions," Empirical Economics, Springer, vol. 26(1), pages 115-134.
  5. Jaume Garcia & Pedro J. Hernández & Ángel López Nicolás, 1998. "How wide is the gap? An investigation of gender wage differences using quantile regression," Economics Working Papers 287, Department of Economics and Business, Universitat Pompeu Fabra.
  6. Amemiya, Takeshi, 1982. "Two Stage Least Absolute Deviations Estimators," Econometrica, Econometric Society, vol. 50(3), pages 689-711, May.
  7. Tae-Hwan Kim & Christophe Muller, 2004. "Two-stage quantile regression when the first stage is based on quantile regression," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 218-231, 06.
  8. Omar Arias & Kevin F. Hallock & Walter Sosa Escudero, 1999. "Individual Heterogeneity in the Returns to Schooling: Instrumental Variables Quantile Regression using Twins Data," Department of Economics, Working Papers 016, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
  9. Buchinsky, Moshe, 1995. "Quantile regression, Box-Cox transformation model, and the U.S. wage structure, 1963-1987," Journal of Econometrics, Elsevier, vol. 65(1), pages 109-154, January.
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Citations

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Cited by:
  1. Tae-Hwan Kim & Christophe Muller, 2013. "A Test for Endogeneity in Conditional Quantiles," Working Papers halshs-00854527, HAL.
  2. Liu, Sezhu & Hite, Diane, 2013. "Measuring the Effect of Green Space on Property Value: An Application of the Hedonic Spatial Quantile Regression," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida 143045, Southern Agricultural Economics Association.
  3. Tae-Hwan Kim & Christophe Muller, 2004. "Two-stage quantile regression when the first stage is based on quantile regression," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 218-231, 06.
  4. Paul Mizen & Tae-Hwan Kim & Alan Thanaset, 2007. "Evaluating the Taylor Principle Over the Distribution of the Interest Rate: Evidence from the US, UK and Japan," Money Macro and Finance (MMF) Research Group Conference 2006 51, Money Macro and Finance Research Group.
  5. Joachim Zietz & Emily Zietz & G. Sirmans, 2008. "Determinants of House Prices: A Quantile Regression Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 37(4), pages 317-333, November.
  6. Tae-Hwan Kim & Christophe Muller, 2012. "Bias Transmission and Variance Reduction in Two-Stage Quantile Regression," Working Papers halshs-00793372, HAL.
  7. Philip Kostov, 2013. "Empirical likelihood estimation of the spatial quantile regression," Journal of Geographical Systems, Springer, vol. 15(1), pages 51-69, January.
  8. Chortareas, Georgios & Magonis, George & Panagiotidis, Theodore, 2012. "The asymmetry of the New Keynesian Phillips Curve in the euro-area," Economics Letters, Elsevier, vol. 114(2), pages 161-163.
  9. Theodore Panagiotidis & Gianluigi Pelloni, 2014. "Asymmetry and Lilien’s Sectoral Shifts Hypothesis: A Quantile Regression Approach," Working Paper Series 15_14, The Rimini Centre for Economic Analysis.
  10. Christophe Muller & Tae-Hwan Kim, 2005. "Two-Stage Huber Estimation," Working Papers. Serie AD 2005-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  11. Divine Ikenwilo & Anthony Scott, 2007. "The effects of pay and job satisfaction on the labour supply of hospital consultants," Health Economics, John Wiley & Sons, Ltd., vol. 16(12), pages 1303-1318.
  12. Sokbae Lee, 2004. "Endogeneity in Quantile Regression Models: A Control Function Approach," Econometric Society 2004 North American Summer Meetings 521, Econometric Society.
  13. Nandy, Monomita & Lodh, Suman, 2012. "Do banks value the eco-friendliness of firms in their corporate lending decision? Some empirical evidence," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 83-93.
  14. Liao, Wen-Chi & Wang, Xizhu, 2012. "Hedonic house prices and spatial quantile regression," Journal of Housing Economics, Elsevier, vol. 21(1), pages 16-27.

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