@article{96d4636a743b4961af60f9c5894c6971,
title = "Sieve instrumental variable quantile regression estimation of functional coefficient models",
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.",
keywords = "C13, C14, C21, C23, C26, JEL classification C12",
author = "Liangjun Su and Tadao Hoshino",
note = "Funding Information: The authors gratefully thank a co-editor, an associate editor, and three anonymous referees for their many constructive comments on the previous version of the paper. Su acknowledges support from the Singapore Ministry of Education for Academic Research Fund under grant number MOE2012-T2-2-021 . Hoshino{\textquoteright}s work is supported by a JSPS Grant-in-Aid for Scientific Research PD-247943 . Publisher Copyright: {\textcopyright} 2015 Elsevier B.V. All rights reserved.",
year = "2016",
month = mar,
day = "1",
doi = "10.1016/j.jeconom.2015.10.006",
language = "English",
volume = "191",
pages = "231--254",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "1",
}