کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5095744 1376482 2016 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Sieve instrumental variable quantile regression estimation of functional coefficient models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Sieve instrumental variable quantile regression estimation of functional coefficient models
چکیده انگلیسی
In this paper we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We estimate the functional coefficients by the sieve-IVQR technique and establish the uniform consistency and asymptotic normality of the estimators. Based on the sieve estimates, we propose a nonparametric specification test for the constancy of the functional coefficients and study its asymptotic. We conduct simulations to evaluate the finite sample behavior of our estimator and test statistic, and apply our method to study the estimation of quantile Engel curves.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 191, Issue 1, March 2016, Pages 231-254
نویسندگان
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