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A Consistent Nonparametric Equality Test Of Conditional Quantile Functions

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  • Sun, Yiguo

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.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 22 (2006)
Issue (Month): 04 (August)
Pages: 614-632

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Handle: RePEc:cup:etheor:v:22:y:2006:i:04:p:614-632_06

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Cited by:
  1. Holger Dette & Stefan Hoderlein & Natalie Neumeyer, 2011. "Testing multivariate economic restrictions using quantiles: the example of Slutsky negative semidefiniteness," CeMMAP working papers CWP14/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.

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