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After providing sufficient conditions for identification, we demonstrate that when the number of knots in the quantile grid is chosen to grow at an adequate speed, the sieve\u2010maximum\u2010likelihood estimator is consistent and asymptotically normal, permitting inference via bootstrapping. Monte Carlo evidence verifies our method outperforms quantile regression in mean bias and MSE. Finally, we illustrate our estimator with an application to the returns to education highlighting changes over time in the returns to education that have previously been masked by measurement\u2010error bias.<\/jats:p>","DOI":"10.3982\/ecta14667","type":"journal-article","created":{"date-parts":[[2021,3,15]],"date-time":"2021-03-15T09:42:01Z","timestamp":1615801321000},"page":"849-873","source":"Crossref","is-referenced-by-count":19,"title":["Errors in the Dependent Variable of Quantile Regression Models"],"prefix":"10.3982","volume":"89","author":[{"given":"Jerry","family":"Hausman","sequence":"first","affiliation":[{"name":"Department of Economics, MIT"},{"name":"NBER"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Haoyang","family":"Liu","sequence":"additional","affiliation":[{"name":"Research and Statistics Group, Federal Reserve Bank of New York"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ye","family":"Luo","sequence":"additional","affiliation":[{"name":"HKU Business School, The University of Hong Kong"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Christopher","family":"Palmer","sequence":"additional","affiliation":[{"name":"Sloan School of Management, MIT"},{"name":"NBER"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2021]]},"reference":[{"issue":"2","key":"ecta200258-bib-0001","doi-asserted-by":"crossref","first-page":"259","DOI":"10.1016\/j.jeconom.2012.01.036","volume":"168","author":"An","year":"2012","journal-title":"Journal of Econometrics"},{"issue":"4","key":"ecta200258-bib-0002","doi-asserted-by":"crossref","first-page":"979","DOI":"10.2307\/2937954","volume":"106","author":"Angrist","year":"1991","journal-title":"The Quarterly Journal of Economics"},{"issue":"2","key":"ecta200258-bib-0003","doi-asserted-by":"crossref","first-page":"539","DOI":"10.1111\/j.1468-0262.2006.00671.x","volume":"74","author":"Angrist","year":"2006","journal-title":"Econometrica"},{"issue":"2","key":"ecta200258-bib-0004","doi-asserted-by":"crossref","first-page":"300","DOI":"10.1162\/rest.90.2.300","volume":"90","author":"Autor","year":"2008","journal-title":"The Review of Economics and Statistics"},{"issue":"3","key":"ecta200258-bib-0005","doi-asserted-by":"crossref","first-page":"576","DOI":"10.1086\/209899","volume":"16","author":"Bollinger","year":"1998","journal-title":"Journal of Labor Economics"},{"key":"ecta200258-bib-0006","doi-asserted-by":"crossref","first-page":"3705","DOI":"10.1016\/S1573-4412(01)05012-7","volume-title":"Handbook of Econometrics","volume":"5","author":"Bound","year":"2001"},{"issue":"1","key":"ecta200258-bib-0007","doi-asserted-by":"crossref","first-page":"36","DOI":"10.1177\/0002716212456834","volume":"645","author":"Brick","year":"2013","journal-title":"The ANNALS of the American Academy of Political and Social Science"},{"issue":"2","key":"ecta200258-bib-0008","doi-asserted-by":"crossref","first-page":"232","DOI":"10.1016\/j.jeconom.2008.09.029","volume":"147","author":"Burda","year":"2008","journal-title":"Journal of Econometrics"},{"issue":"2","key":"ecta200258-bib-0009","doi-asserted-by":"crossref","first-page":"184","DOI":"10.1016\/j.jeconom.2011.09.001","volume":"166","author":"Burda","year":"2012","journal-title":"Journal of Econometrics"},{"issue":"5","key":"ecta200258-bib-0010","doi-asserted-by":"crossref","first-page":"1127","DOI":"10.1111\/1468-0262.00237","volume":"69","author":"Card","year":"2001","journal-title":"Econometrica"},{"key":"ecta200258-bib-0011","doi-asserted-by":"crossref","first-page":"5549","DOI":"10.1016\/S1573-4412(07)06076-X","volume-title":"Handbook of Econometrics","volume":"6","author":"Chen","year":"2007"},{"key":"ecta200258-bib-0012","doi-asserted-by":"crossref","unstructured":"Chen, X., and D. 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