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Bootstrapping Quantile Regression Estimators

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Author Info
Hahn, Jinyong
Abstract

The asymptotic variance matrix of the quantile regression estimator depends on the density of the error. For both deterministic and random regressors, the bootstrap distribution is shown to converge weakly to the limit distribution of the quantile regression estimator in probability. Thus, the confidence intervals constructed by the bootstrap percentile method have asymptotically correct coverage probabilities.

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File URL: http://journals.cambridge.org/abstract_S0266466600009051
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 11 (1995)
Issue (Month): 01 (February)
Pages: 105-121
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:11:y:1995:i:01:p:105-121_00

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  2. R. Koenker & O. Geling, . "Reappraising Medfly Longevity: A Quantile Regression Survival Analysis," Sonderforschungsbereich 373 1999-53, Humboldt Universitaet Berlin.
  3. Juan Carlos Escanciano & Carlos Velasco, 2008. "Specification Tests of Parametric Dynamic Conditional Quantiles," Caepr Working Papers 2008-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
  4. Yoon-Jae Whang, 2004. "Smoothed Empirical Likelihood Methods for Quantile Regression Models," Cowles Foundation Discussion Papers 1453, Cowles Foundation, Yale University. [Downloadable!]
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  5. Karin Hoisl, 2009. "Does mobility increase the productivity of inventors?," The Journal of Technology Transfer, Springer, vol. 34(2), pages 212-225, April. [Downloadable!] (restricted)
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  6. Christophe Muller & Christophe Nordman, 2005. "Human Capital And Wages In Two Leading Industries Of Tunisia: Evidence From Matched Worker-Firm Data," Working Papers. Serie AD 2005-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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  7. Elke Lüdemann & Ralf Wilke & Xuan Zhang, 2006. "Censored quantile regressions and the length of unemployment periods in West Germany," Empirical Economics, Springer, vol. 31(4), pages 1003-1024, November. [Downloadable!] (restricted)
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  8. Christophe Muller & Tae-Hwan Kim, 2005. "Two-Stage Huber Estimation," Working Papers. Serie AD 2005-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  9. Gary Chamberlain & Guido W. Imbens, 1996. "Nonparametric Applications of Bayesian Inference," NBER Technical Working Papers 0200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Christophe Muller & Christophe Nordman, 2005. "Which Human Capital Matters For Rich And Poor'S Wages? Evidence From Matched Worker-Firm Data From Tunisia," Working Papers. Serie AD 2005-30, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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  11. Joel L. Horowitz, 1996. "Bootstrap Methods for Median Regression Models," Econometrics 9608004, EconWPA. [Downloadable!]
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  12. Hochguertel, S., 1997. "Precautionary motives and portfolio decisions," Discussion Paper 55, Tilburg University, Center for Economic Research. [Downloadable!]
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  13. Jens J. Krüger, 2003. "Productivity Dynamics Beyond-the-Mean in U.S. Manufacturing Industries," Jenaer Schriften zur Wirtschaftswissenschaft 09/2003, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
  14. Sun, Y., 2003. "A Consistent Nonparametric Equality Test of Conditional Quantile Functions," Working Papers 2003-10, University of Guelph, Department of Economics. [Downloadable!]
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  15. Christophe Muller, Christophe J. Nordman, 2008. "Intra-Firm Human Capital Externalities in Tunisia," THEMA Working Papers 2008-38, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
  16. repec:dia:wpaper:dt200409 is not listed on IDEAS
  17. Halbert White & Tae-Hwan Kim, 2002. "Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression," University of California at San Diego, Economics Working Paper Series 2002-09, Department of Economics, UC San Diego. [Downloadable!]
  18. Christophe MULLER and Sami BIBI, 2008. "Focused Transfer Targeting against Poverty Evidence from Tunisia," THEMA Working Papers 2008-37, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
  19. Jose A. F. Machado & Jose Mata, 2000. "Box-Cox quantile regression and the distribution of firm sizes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(3), pages 253-274. [Downloadable!]
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