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Efficient Estimation of a Triangular System of Equations for Quantile Regression

Author

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  • Sungwon Lee

    (Department of Economics, Sogang University, Seoul, Korea)

Abstract

This paper proposes a one-step sieve estimator of the parameter in the semiparametric triangular model for quantile regression of Lee (2007). The proposed estimator is a penalized sieve minimum distance (PSMD) estimator developed by Chen and Pouzo (2009). We develop the asymptotic theory for the PSMD estimator under a set of low-level conditions. The PSMD estimator is shown to be semiparametrically efficient, and the validity of a weighted bootstrap is established. A small Monte Carlo simulation study shows that our estimator performs well in finite samples.

Suggested Citation

  • Sungwon Lee, 2023. "Efficient Estimation of a Triangular System of Equations for Quantile Regression," Working Papers 2301, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    • Handle: RePEc:sgo:wpaper:2301
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    File URL: https://tinyurl.com/2bzenoyl
    File Function: First version, 2023
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    More about this item

    Keywords

    quantile regression; endogeneity; sieve estimation; semiparametric efficiency;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

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