?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.title=Endogeneity+in+quantile+regression+models%3A+a+control+function+approach&rft.creator=Lee%2C+S.&rft.description=This+paper+considers+a+linear+triangular+simultaneous+equations+model+with+conditional+quantile+restrictions.+The+paper+adjusts+for+endogeneity+by+adopting+a+control%0D%0Afunction+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%0D%0Athe+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%2C+the+paper+provides+some+discussions+on%0D%0Arelated+estimation+methods+in+the+literature+and+on+possible+extensions+and+limitations+of+the+estimation+approach.+Finally%2C+the+numerical+performance+and+usefulness+of+the+estimator+are+illustrated+by+the+results+of+Monte+Carlo+experiments+and+two+empirical+examples%2C+demand+for+fish+and+returns+to+schooling.&rft.subject=Endogeneity%2C+partially+linear+regression%2C+quantile+regression%2C+series+estimation&rft.publisher=Institute+for+Fiscal+Studies&rft.date=2004-12&rft.type=Working+%2F+discussion+paper&rft.language=eng&rft.source=++++(cemmap+Working+Papers++CWP08%2F).+Institute+for+Fiscal+Studies%3A+London%2C+UK.+(2004)+++++&rft.format=application%2Fpdf&rft.identifier=https%3A%2F%2Fdiscovery.ucl.ac.uk%2Fid%2Feprint%2F14694%2F1%2F14694.pdf&rft.identifier=https%3A%2F%2Fdiscovery.ucl.ac.uk%2Fid%2Feprint%2F14694%2F&rft.rights=open