Distributional Effects in Censored Quantile Regressions with Endogeneity and Heteroskedasticity
内生性与异方差下删失分位数回归的分布效应
Distributional effects, captured by quantile frameworks, are well-received for characterizing heterogeneous impacts of economic factors across the unobserved relative ranks. Censored outcome, endogenous regressor and heteroskedastic error are prevalent in empirical work, yet challenge the consistency of existing quantile estimation methods. This paper proposes a two-nested-step(TNS) estimation method for distributional effects in censored quantile models with endogeneity and…