Small sample behaviour of quantile estimators
The Koenker and D'Orey (Econometrica, 46, pp. 43-61, 1987) algorithm is compared with the Minimum Distance estimator proposed by Buchinsky (Econometrica, 62, pp. 405-58, 1994) to estimate the parameters of conditional quantiles specified as linear models.
DOI identifier: 10.1080/13504850210137794
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