Understanding the effect of measurement error on quantile regressions

A-Tier
Journal: Journal of Econometrics
Year: 2017
Volume: 200
Issue: 2
Pages: 223-237

Score contribution per author:

4.036 = (α=2.02 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The impact of measurement error in explanatory variables on quantile regression functions is investigated using a small variance approximation. The approximation shows how the error contaminated and error free quantile regression functions are related. A key factor is the distribution of the error free explanatory variable. Exact calculations probe the accuracy of the approximation. The order of the approximation error is unchanged if the density of the error free explanatory variable is replaced by the density of the error contaminated explanatory variable which is easily estimated. It is then possible to use the approximation to investigate the sensitivity of estimates to varying amounts of measurement error.

Technical Details

RePEc Handle
repec:eee:econom:v:200:y:2017:i:2:p:223-237
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25