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

Tae-Hwan Kim (1) , Christophe Muller (2)

1 Yonsei University
2 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille

We study the fitted-value approach to quantile regression in the presence of endogeneity under a weakened form of the 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.

Mots clés: two-stage estimation; quantile regression; fitted-value approach

Domaines: Economies et finances

Tae-Hwan Kim, Christophe Muller. A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression. 2015. ⟨halshs-01157552v1⟩