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

For linear quantile regression under endogeneity, it is often believed that the fitted-value approach (i.e., replacing endogenous regressors with their exogenous fitted-values) implies constant effect (that is: the coefficients of the covariates do not depend on the considered quantile, except for the intercept), as discussed in Lee (2007). We show the possibility of a particular form of non-constant effect models with the fitted-value approach under a weakened IV condition. However, only the constant-effect coefficients of the model can be consistently estimated.

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

Domaines: Economies et finances

Tae-Hwan Kim, Christophe Muller. A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression. 2015. ⟨halshs-01157552v2⟩