Angrist, Joshua; Chernozhukov, Victor; Fernández-Val, Iván - In: Econometrica 74 (2006) 2, pp. 539-563
Quantile regression (QR) fits a linear model for conditional quantiles just as ordinary least squares (OLS) fits a linear model for conditional means. An attractive feature of OLS is that it gives the minimum mean-squared error linear approximation to the conditional expectation function even...