Quantile Regression with Classical Additive Measurement Errors
This note derives the bias of the quantile regression estimator in the presence of classical additive measurement error, and show its connection to least squares models. The bias structure suggests that the instrumental variables estimator proposed for least squares can be applied to the quantile regression case.
Volume (Year): 31 (2011)
Issue (Month): 4 ()
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References listed on IDEAS
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- Andrew Chesher, 2001. "Parameter approximations for quantile regressions with measurement error," CeMMAP working papers CWP02/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Wansbeek, Tom, 2001. "GMM estimation in panel data models with measurement error," Journal of Econometrics, Elsevier, vol. 104(2), pages 259-268, September.
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"Errors in variables in panel data,"
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Elsevier, vol. 31(1), pages 93-118, February.
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- Joshua Angrist & Victor Chernozhukov & Iván Fernández-Val, 2006. "Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure," Econometrica, Econometric Society, vol. 74(2), pages 539-563, 03.
- Joshua Angrist & Victor Chernozhukov & Ivan Fernandez-Val, 2004. "Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure," NBER Working Papers 10428, National Bureau of Economic Research, Inc.
- Schennach, Susanne M., 2008. "Quantile Regression With Mismeasured Covariates," Econometric Theory, Cambridge University Press, vol. 24(04), pages 1010-1043, August.
- Chernozhukov, Victor & Hansen, Christian, 2008. "Instrumental variable quantile regression: A robust inference approach," Journal of Econometrics, Elsevier, vol. 142(1), pages 379-398, January.
- Chernozhukov, Victor & Hansen, Christian, 2006. "Instrumental quantile regression inference for structural and treatment effect models," Journal of Econometrics, Elsevier, vol. 132(2), pages 491-525, June. Full references (including those not matched with items on IDEAS)
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