2017
DOI: 10.48550/arxiv.1710.07575
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Quantile Regression with Interval Data

Abstract: This paper investigates the identification of quantiles and quantile regression parameters when observations are set valued. We define the identification set of quantiles of random sets in a way that extends the definition of quantiles for regular random variables. We then give sharp characterization of this set by extending concepts from random set theory. For quantile regression parameters, we show that the identification set is characterized by a system of conditional moment inequalities. This characterizat… Show more

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