Quantile Regression

Question 1

What is one important feature of Quantiles with respect to weakly increasing transformations?

Answer 1

Question 2

Take a conditional quantile regression. How do you transform the Quantile restriction into a first moment restriction?

Answer 2

Question 3

How would you transform a moment restriction for Quantile Regression into an unconditional moment restriction using method of moments?

Answer 3

Question 4

What is the minimization problem to be solved for a Quantile Regression? Make sure to define the Check Function.

Answer 4