I am new to Quantile Regression and have a couple of questions. First, assume I want to study the relation between a bond index and various financial variables such as an equity market index over the period 1995-2015, would it be necessary to use crisis dummies? I have seen both ways used in the literature i.e. estimating a QR with and without dummies.
Secondly, what is the situation with specification tests for example relating to endogeneity etc? How do I know my results are unbiased? I can't find much information regarding these issues and would greatly appreciate any advice.