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QUANTILE REGRESSION WITH MISMEASURED COVARIATES

Published online by Cambridge University Press:  04 April 2008

Susanne M. Schennach
Susanne M. Schennach*
Affiliation:
University of Chicago
*
Address correspondence to Susanne M. Schennach, Department of Economics, University of Chicago, 1126 East 59th Street, Chicago, IL 60637, U.S.A.; e-mail: smschenn@uchicago.edu.
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Abstract

This paper establishes that the availability of instrumental variables enables the identification and the consistent estimation of nonparametric quantile regression models in the presence of measurement error in the regressors. The proposed estimator takes the form of a nonlinear functional of derivatives of conditional expectations and is shown to provide estimated quantile functions that are uniformly consistent over a compact set.

Type
Research Article
Information
Econometric Theory , Volume 24 , Issue 4 , August 2008 , pp. 1010 - 1043
Copyright
Copyright © Cambridge University Press 2008

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