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Comparing Nonparametric Regression Quantiles

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  • Cristian Huse

Abstract

This paper investigates how conditional quantiles of a given distribution relate to each other. Given two conditional quantiles estimated nonparametrically, we investigate their relation by linking them through a parametric transformation. Asymptotic normality of the associated parameter vector is established, and the method is illustrated with data from the Family Expenditure Survey (FES) of UK households. The FES records expenditures of households on six broad categories of goods (alcohol, clothing, food, fuel, transport, and "other goods"), and the methodology is applied by estimating and comparing the conditional quantiles of the Engel relation. The only category for which expenditure can explain the shift in the quantile curves is for "other goods" relationship, indicating an increase in heterogeneity for better off households, suggesting a "taste for variety" effect as the expenditure level increases. For the remaining categories one cannot reject the null of a parallel shift of the quantile curves

Suggested Citation

  • Cristian Huse, 2004. "Comparing Nonparametric Regression Quantiles," Econometric Society 2004 Latin American Meetings 165, Econometric Society.
    • Handle: RePEc:ecm:latm04:165
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    References listed on IDEAS

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    More about this item

    Keywords

    Quantile Regression; Semiparametric Estimation; Specification Testing; Engel Curve; Household Expenditure; Budget Shares.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis

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