Hostname: page-component-848d4c4894-8bljj Total loading time: 0 Render date: 2024-06-28T16:00:49.890Z Has data issue: false hasContentIssue false
  • English
  • Français

A CONSISTENT NONPARAMETRIC EQUALITY TEST OF CONDITIONAL QUANTILE FUNCTIONS

Published online by Cambridge University Press:  23 May 2006

Yiguo Sun
Yiguo Sun
Affiliation:
University of Guelph
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper proposes a consistent nonparametric test for testing for equality of unknown conditional quantile curves across subgroups within a survey data framework. Moreover, to improve the small-sample performance of the test, we propose a modified version of wild bootstrap procedure in a quantile context. Monte Carlo evidence shows that the performance of the test in small samples is adequate but is improved significantly when the bootstrap critical values are used.I thank the co-editor and two referees for helpful comments that improved the paper. Financial support from the Social Sciences and Humanities Research Council of Canada is gratefully acknowledged.

Type
Research Article
Information
Econometric Theory , Volume 22 , Issue 4 , August 2006 , pp. 614 - 632
Copyright
© 2006 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Baltagi, B.H., J. Hidalgo, & Q. Li (1996) A nonparametric test for poolability using panel data. Journal of Econometrics 75, 345–367.Google Scholar
Bhattacharya, P.K. & A.K. Gangopadtyay (1990) Kernel and nearest-neighbor estimation of a conditional quantile. Annals of Statistics 18, 1400–1415.Google Scholar
Bickel, P.J. & D.A. Freedman (1981) Some asymptotic theory for the bootstrap. Annals of Statistics 9, 1196–1217.Google Scholar
Buchinsky, M. (1994) Changes in the U.S. wage structure 1963–1987: Application of quantile regression. Econometrica 62, 405–458.Google Scholar
Fan, J., T. Hu, & Y.K. Truong (1994) Robust non-parametric function estimation. Scandinavian Journal of Statistics 21, 433–446.Google Scholar
Fan, Y. & Q. Li (1996) Consistent model specification tests: Omitted variables and semiparametric functional forms. Econometrica 64, 865–890.Google Scholar
Gozalo, P.L. (1997) Nonparametric bootstrap analysis with applications to demographic effects in demand functions. Journal of Econometrics 81, 357–393.Google Scholar
Hall, P. (1984) Central limit theorem for integrated square error of multivariate nonparametric density estimators. Journal of Multivariate Analysis 14, 1–16.Google Scholar
Hall, P., R.C.L. Wolff, & Q. Yao (1999) Methods for estimating a conditional distribution function. Journal of the American Statistical Association 94, 154–163.Google Scholar
Härdle, W. & E. Mammen (1991) Bootstrap simultaneous error bars for nonparametric regression. Annals of Statistics 19, 778–796.Google Scholar
Härdle, W. & E. Mammen (1993) Comparing nonparametric versus parametric regression fits. Annals of Statistics 21, 1926–1947.Google Scholar
Koenker, R. & G. Bassett (1978) Regression quantiles. Econometrica 46, 33–50.Google Scholar
Koenker, R. & G. Bassett (1982) Robust test for heteroskedasticity based on regression quantiles. Econometrica 50, 43–61.Google Scholar
Koenker, R. & V. d'Orey (1987) Computing regression quantiles. Applied Statistics 36, 383–393.Google Scholar
Koenker, R., P. Ng, & S. Portnoy (1994) Quantile smoothing spline. Biometrika 81, 673–680.Google Scholar
Lavergne, P. (2001) An equality test across nonparametric regressions. Journal of Econometrics 103, 307–340.Google Scholar
Li, Q. & S. Wang (1998) A simple consistent bootstrap test for a parametric regression function. Journal of Econometrics 87, 145–165.Google Scholar
Newey, W.K. & D. McFadden (1994) Large sample estimation and hypothesis testing. In R.F. Engle & D.L. McFadden (eds.), Handbook of Econometrics, vol. 4. Elsevier Science B.V., 2111–2245.
Newey, W.K. & J.L. Powell (1990) Efficient estimation of linear and type I censored regression models under conditional quantile restrictions. Econometric Theory 6, 295–317.Google Scholar
Pollard, D. (1991) Asymptotic for least absolute deviation regression estimators. Econometric Theory 7, 186–199.Google Scholar
Powell, J.L. (1986) Censored regression quantiles. Journal of Econometrics 32, 143–155.Google Scholar
Powell, J.L., J.H. Stock, & T.M. Stoker (1989) Semiparametric estimation of index coefficients. Econometrica 57, 1403–1430.Google Scholar
Racine, J. & Q. Li (2004) Nonparametric estimation of regression functions with both categorical and continuous data. Journal of Econometrics 119, 99–130.Google Scholar
Serfling, R.J. (2002) Approximation theorems of mathematical statistics. Wiley.
Yu, K. & M.C. Jones (1998) Local linear quantile regression. Journal of the American Statistical Association 93, 228–237.Google Scholar
Zheng, J.X. (1996) A consistent test of functional form via nonparametric estimation techniques. Journal of Econometrics 75, 263–289.Google Scholar
Zheng, J.X. (1998) A consistent nonparametric test of parametric regression models under conditional quantile restrictions. Econometric Theory 14, 123–138.Google Scholar