Weighted-average quantile regression

Denis Chetverikov, Yukun Liu, Aleh Tsyvinski

In this paper, we introduce the weighted-average quantile regression framework, ${\int }_0^1{q}_{Y|X}(u)\psi (u)du=X^{\prime }\beta$, where $Y$ is a dependent variable, $X$ is a vector of covariates,…