Two-stage quantile regression when the first stage is based on quantile regression
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
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 7 (2004)
Issue (Month): 1 (06)
|Contact details of provider:|| Postal: Office of the Secretary-General, Rm E35, The Bute Building, Westburn Lane, St Andrews, KY16 9TS, UK|
Phone: +44 1334 462479
Web page: http://www.res.org.uk/
More information through EDIRC
|Order Information:||Web: http://www.ectj.org|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Omar Arias & Walter Sosa-Escudero & Kevin F. Hallock, 2001.
"Individual heterogeneity in the returns to schooling: instrumental variables quantile regression using twins data,"
Springer, vol. 26(1), pages 7-40.
- 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.
- Amemiya, Takeshi, 1982. "Two Stage Least Absolute Deviations Estimators," Econometrica, Econometric Society, vol. 50(3), pages 689-711, May.
- Alberto Abadie & Joshua Angrist & Guido Imbens, 2002.
"Instrumental Variables Estimates of the Effect of Subsidized Training on the Quantiles of Trainee Earnings,"
Econometric Society, vol. 70(1), pages 91-117, January.
- 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.
- 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.
- Angel López-Nicolás & Jaume García & Pedro J. Hernández, 2001. "How wide is the gap? An investigation of gender wage differences using quantile regression," Empirical Economics, Springer, vol. 26(1), pages 149-167.
- 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.
- 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.
- Frank A Cowell & Emmanuel Flachaire, 2002. "Sensitivity of Inequality Measures to Extreme Values," STICERD - Distributional Analysis Research Programme Papers 60, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- José Ferreira Machado & José Mata, 1998.
"Earning Functions in Portugal 1982-1994: Evidence From Quantile Regressions,"
w199802, Banco de Portugal, Economics and Research Department.
- 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.
- 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.
- Tae-Hwan Kim & Christophe Muller, 2004.
"Two-stage quantile regression when the first stage is based on quantile regression,"
Royal Economic Society, vol. 7(1), pages 218-231, 06.
- Christophe Muller & Tae-Hwan Kim, 2004. "Two-Stage Quantile Regression When The First Stage Is Based On Quantile Regression," Working Papers. Serie AD 2004-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:7:y:2004:i:1:p:218-231. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.