eprintid: 14694
rev_number: 32
eprint_status: archive
userid: 600
dir: disk0/00/01/46/94
datestamp: 2009-07-31 14:25:30
lastmod: 2015-07-23 09:36:25
status_changed: 2009-07-31 14:26:54
type: working_paper
metadata_visibility: show
item_issues_count: 0
creators_name: Lee, S.
creators_id: LSOKB93
title: Endogeneity in quantile regression models: a control function approach
ispublished: pub
subjects: 12042
subjects: 12000
divisions: F24
keywords: Endogeneity, partially linear regression, quantile regression, series estimation
abstract: This paper considers a linear triangular simultaneous equations model with conditional quantile restrictions. The paper adjusts for endogeneity by adopting a control
function 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
the 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, the paper provides some discussions on
related estimation methods in the literature and on possible extensions and limitations of the estimation approach. Finally, the numerical performance and usefulness of the estimator are illustrated by the results of Monte Carlo experiments and two empirical examples, demand for fish and returns to schooling.
date: 2004-12
publisher: Institute for Fiscal Studies
official_url: http://www.cemmap.ac.uk/publications.php?publication_id=2617
vfaculties: VSHS
oa_status: green
language: eng
primo: open
primo_central: open_green
lyricists_name: Lee, S
lyricists_id: LSOKB93
full_text_status: public
series: cemmap Working Papers
number: CWP08/
place_of_pub: London, UK
citation:        Lee, S.;      (2004)    Endogeneity in quantile regression models: a control function approach.                    (cemmap Working Papers  CWP08/). Institute for Fiscal Studies: London, UK.       Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/14694/1/14694.pdf