Chernozhukov, Victor; Iv·n Fern·ndez-Val; Galichon, Alfred - In: Econometrica 78 (2010) 3, pp. 1093-1125
This paper proposes a method to address the longstanding problem of lack of monotonicity in estimation of conditional and structural quantile functions, also known as the quantile crossing problem (Bassett and Koenker (1982)). The method consists in sorting or monotone rearranging the original...