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Bias Transmission and Variance Reduction in Two-Stage Quantile Regression
In this paper, we propose a variance reduction method for quantile regressions with endogeneity problems. First, we derive the asymptotic distribution of two-stage... -
A Test for Endogeneity in Conditional Quantiles
In this paper, we develop a test to detect the presence of endogeneity in conditional quantiles. Our test is a Hausman-type test based on the distance between two... -
Multiplicative-error models with sample selection
This paper presents simple approaches to deal with sample selection in models with multiplicative errors. GMM estimators are constructed for both cross-section data...
