Errors in the Dependent Variable of Quantile Regression Models
Errors in the Dependent Variable of Quantile Regression Models
We study the consequences of measurement error in the dependent variable of randomâcoefficients models, focusing on the particular case of quantile regression. The popular quantile regression estimator of Koenker and Bassett (1978) is biased if there is an additive error term. Approaching this problem as an errorsâinâvariables problem where the âŚ