In this paper, a simultaneous equation model with an endogenous variable and an exogenous threshold variable is analysed and estimated thereby extending Caner and Hansen (2004) model to quantile regression. In our framework, we allow both the reduced-form and the structural equation to exhibit...

Motivated by the fact that a linear speci fication in a quantile regression setting is unable to describe the non-linear relations among economic variables, as documented in the empirical econometrics literature, we are the first to formulate and analyze a multiple threshold quantile regression...