Fernandez-Val, I.; Angrist, J.; Chernozhukov, V. - Econometric Society - 2004
Quantile regression (QR) methods fit a linear model for conditional quantiles, just as ordinary least squares (OLS …-specified. Empirical research on quantile regression with discrete covariates suggests that QR has a similar property, but the exact nature … estimators under very general conditions allowing for mis-specification of the conditional quantile function. Finally, we develop …