Two-stage Quantile Regression when the First Stage is Based on Quantile Regression

Abstract

Reading. We also would like to thank two referees for comments and suggestions, which led to substantial improvements. Any remaining errors are ours. We acknowledge a grant (no. 30,649) from the British Academy and the second author is grateful for the financial support by Spanish Ministry of Sciences and Technology, Project No. BEC2002-0309.

Spatial Quantile Regression In Analysis Of Healthy Life Years In The European Union Countries

“…Parameters of the models were estimated using instrumental variable method (Kim, Muller 2004), whereas the confidence intervals and p-values were bootstrapped.…”

“…Because of the endogeneity problems in the models (6) and (1) (on the right hand side we have spatial lags of the dependent variable ρWY) their parameters are estimated using instrumental variables procedures (see Chernozhukov, Hansen 2006); Kim, Muller 2004). In the paper, we use the procedure proposed by Kim, Muller (2004).…”

“…In the paper, we use the procedure proposed by Kim, Muller (2004). It consists of the following steps: Estimate the ordinary quantile regression model of order τ for WY:…”

“…Moreover, this statistical tool is robust against violations of the classical regression Spatial Quantile Regression In Analysis Of Healthy… 181 assumption about the distribution of the error term. Parameters of the models were estimated using instrumental variable method (Kim, Muller 2004), whereas the confidence intervals and p-values were bootstrapped.…”

“…Quantile regression allows studying dependencies between variables in different quantiles of the response distribution. Moreover, this statistical tool is robust against violations of the classical regression assumption about the distribution of the error term.Parameters of the models were estimated using instrumental variable method (Kim, Muller 2004), whereas the confidence intervals and p-values were bootstrapped. …”