Quantile Regression with Generated Regressors
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, consistency a...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-04-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2225-1146/9/2/16 |