This paper studies a dynamic quantile model for intertemporal decisions under uncertainty, in which the decision maker maximizes the τ-quantile of the stream of future utilities, for τ ∈ (0,1). We present two sets of contributions. First, we generalize existing results in directions that are...

Most developing economies rely on foreign capital to finance their infrastructure needs. These projects are usually structured as long-term (25-35 years) franchises that pay in local currency. If investors evaluate their returns in terms of foreign currency, exchange rate volatility introduces...

This study develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed effects, allowing for temporal correlation within each individual. The conventional QR standard errors can seriously underestimate the uncertainty of estimators and, therefore,...

This paper studies estimation and inference for linear quantile regression models with generated regressors. We suggest a practical two-step estimation procedure, where the generated regressors are computed in the first step. The asymptotic properties of the two-step estimator, namely,...