Sieve instrumental variable quantile regression estimation of functional coefficient models

Liangjun Su*, Tadao Hoshino

*この研究の対応する著者

研究成果: Article査読

10 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)231-254
ページ数24
ジャーナルJournal of Econometrics
191
1
DOI
出版ステータスPublished - 2016 3月 1

ASJC Scopus subject areas

  • 経済学、計量経済学

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