Exact computation of GMM estimators for instrumental variable quantile regression models
نویسندگان
چکیده
منابع مشابه
Instrumental Variable Quantile Regression * †
Quantile regression is an increasingly important tool that estimates the conditional quantiles of a response Y given a vector of regressors D. It usefully generalizes Laplace’s median regression and can be used to measure the effect of covariates not only in the center of a distribution, but also in the upper and lower tails. For the linear quantile model defined by Y = D′γ(U) where D′γ(U) is s...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2018
ISSN: 0883-7252,1099-1255
DOI: 10.1002/jae.2619