کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097147 1376572 2007 28 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Endogeneity in quantile regression models: A control function approach
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Endogeneity in quantile regression models: A control function approach
چکیده انگلیسی
This paper considers a linear triangular simultaneous equations model with conditional quantile restrictions. The paper adjusts for endogeneity by adopting a control function approach and presents a simple two-step estimator that exploits the partially linear structure of the model. The first step consists of estimation of the residuals of the reduced-form equation for the endogenous explanatory variable. The second step is series estimation of the primary equation with the reduced-form residual included nonparametrically as an additional explanatory variable. This paper imposes no functional form restrictions on the stochastic relationship between the reduced-form residual and the disturbance term in the primary equation conditional on observable explanatory variables. The paper presents regularity conditions for consistency and asymptotic normality of the two-step estimator. In addition, the paper provides some discussions on related estimation methods in the literature.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 141, Issue 2, December 2007, Pages 1131-1158
نویسندگان
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