Sieve instrumental variable quantile regression estimation of functional coefficient models

Liangjun Su, Tadao Hoshino

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)231-254
Number of pages24
JournalJournal of Econometrics
Volume191
Issue number1
DOIs
Publication statusPublished - 2016 Mar 1

Keywords

  • C13
  • C14
  • C21
  • C23
  • C26
  • JEL classification C12

ASJC Scopus subject areas

  • Economics and Econometrics

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