Lee, Ying-ying - In: Econometrics : open access journal 4 (2016) 1, pp. 1-14
Allowing for misspecification in the linear conditional quantile function, this paper provides a new interpretation and the semiparametric efficiency bound for the quantile regression parameter β ( τ ) in Koenker and Bassett (1978). The first result on interpretation shows that under a...