Bayesian Bootstrap of the Quantile Regression Estimator: A Large Sample Study
AbstractThe large sample property of the Bayesian bootstrap distribution of the quantile regression estimator is investigated. When the pair of dependent and independent variables are resampled, the Bayesian bootstrap is shown to converge weakly in probability to the limiting distribution of the quantile regression estimator. The Bayesian bootstrap thus has the same asymptotic distribution as the Frequentist bootstrap. In addition, the median of the Bayesian bootstrap distribution has the same asymptotic distribution as the quantile regression estimator. Copyright 1997 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoArticle provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 38 (1997)
Issue (Month): 4 (November)
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- Joshua Angrist & Victor Chernozhukov & Iván Fernández-Val, 2006.
"Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure,"
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