DEPARTMENT OF ECONOMICS WORKING PAPER SERIES Two Stage Semi Parametric Quantile Regression
نویسندگان
چکیده
We propose a root n consistent estimator for β0 when the qth conditional quantile of Y given X=x and Z=z takes the semi linear form g(x)+z′β0 where g(.) is an unknown real valued function,β0 a finite dimensional parameter and (X,Z)a couple of explanatory variables.Importantly, our estimator attains,under homoscedasticity,the semi parametric efficiency bound.This estimation is conducted in two steps. First, a Robinson’s like demeaning of the original model is employed which provides a new quantile regression whose nuisance terms are estimated via a non parametric procedure.In the second stage, the quantile regression is conducted by smoothing the check function.We show that the previous estimator belongs to a class of estimators we propose to name ”two stage smooth semi parametric quantile” JEL-codes: C22, C51.
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