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Endogeneity in Quantile Regression Models: A Control Function Approach

Lee, Sokbae - Econometric Society - 2004

This paper considers a linear triangular simultaneous equations model with conditional quantile restrictions. The paper adjusts for endogeneity by adopting a control function approach and presents a simple two-step estimator that exploits the partially linear structure of the model. The first...

Persistent link: https://www.econbiz.de/10005130190

Identification of sensitivity to variation in endogenous variables

Chesher, Andrew - Econometric Society - 2004

This lecture explores conditions under which there is identification of the impact on an outcome of exogenous variation in a variable which is endogenous when data are gathered. The starting point is the Cowles Commission linear simultaneous equations model. The parametric and additive error...

Persistent link: https://www.econbiz.de/10005342177

Nonparametric Estimation of an Additive Quantile Regression Model

Lee, Sokbae; Horowitz, Joel L. - Econometric Society - 2004

This paper is concerned with estimating the additive components of a nonparametric additive quantile regression model. We develop an estimator that is asymptotically normally distributed with a rate of convergence in probability of $n^{-r/(2r+1)}$ when the additive components are $r$-times...

Persistent link: https://www.econbiz.de/10005342359

Informal employment in Bolivia: A lost proposition?

Tannuri-Pianto, Maria; Pianto, Donald - Econometric Society - 2004

We study participation and relative earnings in the formal, informal, and self-employed sectors in Bolivia. We estimate quantile earnings equations corrected for self-selectivity to address potential biases in the estimates of relative earnings gaps due to the endogeneity of sector...

Persistent link: https://www.econbiz.de/10005328885

Quantile Regression under Misspecification

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) regression estimates a linear model for conditional means. An attractive feature of the OLS estimator is that it gives a minimum mean square error approximation to the conditional...

Persistent link: https://www.econbiz.de/10005063598

Finite-Sample Inference Methods for Quantile Regression Models

Hansen, Christian; Chernozhukov, Victor - Econometric Society - 2004

Finite-sample inference methods are developed for quantile regression models. The methods are conservative in that (i) they apply to arbitrary sample sizes without the liberal assumption that sample sizes approach infinity, (ii) they apply when the quantiles are partially or set identified,...

Persistent link: https://www.econbiz.de/10005063611

Has long become longer or short become shorter? Evidence from a censored quantile regression analysis of the changes in the distribution of U.S. unemployment duration

Guimarães, Juliana - Econometric Society - 2004

There is conflicting evidence regarding the recent evolution of unemployment duration in the U.S. In this study we rely on censored quantile regression methods to analyze the changes in the US unemployment duration distribution. We employed the decomposition method proposed by Machado and Mata...

Persistent link: https://www.econbiz.de/10005699588

Comparing Nonparametric Regression Quantiles

Huse, Cristian - Econometric Society - 2004

This paper investigates how conditional quantiles of a given distribution relate to each other. Given two conditional quantiles estimated nonparametrically, we investigate their relation by linking them through a parametric transformation. Asymptotic normality of the associated parameter vector...

Persistent link: https://www.econbiz.de/10005699609

Testing Models with Multiple Equilibria by Quantile Methods

Komunjer, Ivana; Echenique, Federico - Econometric Society - 2004

In this paper, we present methods for deriving testable implication from models with multiple equilibria. Our framework includes many economic models with a one-dimensional endogenous variable---examples are macroeconomic growth models (Solow, 1956), partial equilibrium models, and games of...

Persistent link: https://www.econbiz.de/10005702626

Mortality Reductions, Educational Attainment, and Fertility Choice

Soares, Rodrigo R. - Econometric Society - 2004

This paper explores the role of life expectancy as a determinant of educational attainment and fertility, both during … similar effects -- or may only affect fertility -- depending on the nature of the costs of raising children. This setup can … explain both the demographic transition and the recent behavior of fertility in ``post-demographic transition'' countries …

Persistent link: https://www.econbiz.de/10005328953