Asymptotic Properties of Empirical Quantile-Based Estimators

Julien Chhor, Xavier D'Haultfœuille, Jérémy L'Hour +1

We consider inference for parameters of the form $\hat{I}{¸}_0=E[F_Y^{-1}\circ F_Z(X)]$ for some variables $X$, $Y$ and $Z$. Such parameters appear, in particular, in the ``changes-in-ch…