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| 引用本文： | ???,?????.???????????????λ???????????????????[J].应用概率统计,2017,33(5):475-486. |
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| 作者姓名： | ??? ????? |
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| 作者单位： | ??????????;?????а??????? |
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| 关 键 词： | ??????? ??????? ??С??????? ??????? ??λ????? |
Instrumental Variable Estimation in Linear Quantile Regression Models with Measurement Error |
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| GUAN Jing,WANG LiQun.Instrumental Variable Estimation in Linear Quantile Regression Models with Measurement Error[J].Chinese Journal of Applied Probability and Statisties,2017,33(5):475-486. |
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| Authors: | GUAN Jing WANG LiQun |
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| Institution: | School of Mathematics, Tianjin University;Department of Statistics, University of Manitoba, Winnipeg, Manitoba, |
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| Abstract: | We extend the instrumental variable method for the mean regression models to linear quantile regression models with errors-in-variables. The proposed estimator is consistent and asymptotically normally distributed under some fairly general conditions. Moreover, this approach is practical and easy to implement. Simulation studies show that the finite sample performance of the estimator is satisfactory. The method is applied to a real data study of education and wages. |
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| Keywords: | errors in variables instrumental variables least absolute deviation measurement error quantile regression |
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