Chen, Liqiong; Galvão Júnior, Antônio Fialho; Song, … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-35
This paper studies estimation and inference for linear quantile regression models with generated regressors. We suggest a practical two-step estimation procedure, where the generated regressors are computed in the first step. The asymptotic properties of the two-step estimator, namely,...
