Errors in the Dependent Variable of Quantile Regression Models
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NBER Working Paper No. 25819
---- Acknowledgments ----
We thank Isaiah Andrews, Colin Cameron, Victor Chernozhukov, Denis Chetverikov, Kirill Evdokimov, Hank Farber, Brigham Frandsen, Larry Katz, Brad Larsen, Rosa Matzkin, James McDonald, Ulrich Muller, Shu Shen, and Steven A. Snell for helpful feedback and discussions, as well as seminar participants at Cornell, Harvard, MIT, Princeton, UC Davis, UCL, and UCLA. Lei Ma, Yuqi Song, and Jacob Ornelas provided outstanding research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research, the Federal Reserve Bank of New York or the Federal Reserve System.