Abstract

http://ssrn.com/abstract=558837
 
 

References (19)



 
 

Citations (2)



 


 



Two-Stage Quantile Regression when the First Stage is Based on Quantile Regression


Tae-Hwan Kim


University of Nottingham - School of Economics; Yonsei University - Seoul Campus - College of Business and Economics

Christophe Muller


Universidad de Alicante - Department of Economic Analysis


Econometrics Journal, Vol. 7, No. 1, pp. 218-231, June 2004

Abstract:     
We present the asymptotic properties of double-stage quantile regression estimators with random regressors, where the first stage is based on quantile regressions with the same quantile as in the second stage, which ensures robustness of the estimation procedure. We derive invariance properties with respect to the reformulation of the dependent variable. We propose a consistent estimator of the variance-covariance matrix of the new estimator. Finally, we investigate finite sample properties of this estimator by using Monte Carlo simulations.

Number of Pages in PDF File: 14

Accepted Paper Series





Date posted: July 10, 2004  

Suggested Citation

Kim, Tae-Hwan and Muller, Christophe, Two-Stage Quantile Regression when the First Stage is Based on Quantile Regression. Econometrics Journal, Vol. 7, No. 1, pp. 218-231, June 2004. Available at SSRN: http://ssrn.com/abstract=558837

Contact Information

Tae-Hwan Kim (Contact Author)
University of Nottingham - School of Economics ( email )
University Park
Nottingham, NG7 2RD
United Kingdom
+44 115 951 5620 (Phone)
+44 115 951 4159 (Fax)
Yonsei University - Seoul Campus - College of Business and Economics ( email )
Yonsei University
Seoul
Korea
Christophe Muller
University of Alicante - Department of Economic Analysis ( email )
03080 Alicante
Spain
+34 965 90 3400, ext. 3223 (Phone)
+34 965 90 3898 (Fax)
Feedback to SSRN


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References:  19
Citations:  2

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