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cemmap Working Papers
February 2004 CWP01/04
Article
Quantile regression methods for recursive structural equation models
Type: cemmap Working Papers
Authors: Lingjie Ma and Roger Koenker
ISSN: 1753-9196
Volume, issue, pages: 36 pp.
Now published in: Journal of Econometrics [Details]

Two classes of quantile regression estimation methods for the recursive structural equation models of Chesher (2003) are investigated. A class of weighted average derivative estimators based directly on the identification strategy of Chesher is contrasted with a new control variate estimation method. The latter imposes stronger restrictions achieving an asymptotic efficiency bound with respect to the former class. An application of the methods to the study of the effect of class size on the performance of Dutch primary school students shows that (i.) reductions in class size are beneficial for good students in language and for weaker students in mathematics, (ii) larger classes appear bene cial for weaker language students, and (iii.) the impact of class size on both mean and median performance is negligible.

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