nonlinear quantile regression

Smoothed instrumental variables quantile regression, with estimation of quantile Euler equations

This paper develops theory for feasible estimation and testing of finite-dimensional parameters identified by general conditional quantile restrictions. This includes instrumental variables nonlinear quantile regression as a special case, under much weaker assumptions than previously seen in the literature. More specifically, we consider a set of unconditional moments implied by the conditional quantile restrictions and provide conditions for local identification.

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