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Gabriel Montes-Rojas
''Quantile Regression with Classical Additive Measurement Errors''
( 2011, Vol. 31 No.4 )
This note derives the bias of the quantile regression estimator in the presence of classical additive measurement error, and show its connection to least squares models. The bias structure suggests that the instrumental variables estimator proposed for least squares can be applied to the quantile regression case.
Keywords: Quantile Regression, Measurement Errors, Instrumental Variables
JEL: C1 - Econometric and Statistical Methods: General
C2 - Single Equation Models; Single Variables: General
Manuscript Received : May 24 2011 Manuscript Accepted : Oct 11 2011

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