This paper develops generalized method of moments (GMM) estimation and inference procedures for quantile regression models. We propose a GMM estimator for simultaneous estimation across multiple quantiles. This estimator allows us to model quantile regression coefficients using flexible...

We propose a new regression method to estimate the impact of explanatory variables on quantiles of the unconditional (marginal) distribution of an outcome variable. The proposed method consists of running a regression of the (recentered) influence function (RIF) of the unconditional quantile on...

We propose a new regression method to estimate the impact of explanatory variables on quantiles of the unconditional (marginal) distribution of an outcome variable. The proposed method consists of running a regression of the (recentered) influence function (RIF) of the unconditional quantile on...