Inconsistency Transmission and Variance Reduction in Two-Stage Quantile Regression
Forthcoming in Communications in Statistics Working Paper Version Authors: Tae-Hwan Kim and Christophe Muller Abstract: In this paper, we propose a new variance reduction method for quantile regressions with endogeneity problems, for alpha-mixing or m-dependent covariates and error terms. First, we derive the asymptotic distribution of two-stage quantile estimators based on the fitted-value approach under very general
read moretmena project