Hi,
is it possible to run quantile regressions where the quantiles are not
defined over the independent variable but over some other variable?
Say you have wages as a dependent variable and another variable measuring
ability (e.g. an IQ test). Suppose you want to see if the effect of, say,
experience on wages varies across quantiles of ability. One way is to
include interactions of experience*ability in a traditional OLS regression.
However, I was wondering if there is a way to run quantile regressions,
instead. So one would come up with coefficients of experience in a series of
wage regressions by quantile of the distribuiton of ability.
Please forgive me if the question does not make any sense, but I would
appreciate any feedback!
Thanks.
Tony Fanari
