Finite sample inference for quantile regression models

DOI10.1016/j.jeconom.2009.01.004zbMath1431.62601OpenAlexW2796332664MaRDI QIDQ2630070

Yanyan Li

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/101249

zbMATH Keywords

partial identificationweak identificationinstrumental quantile regressionextremal quantile regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08)

Related Items (15)

Conditional empirical likelihood estimation and inference for quantile regression models ⋮ Weak identification robust tests in an instrumental quantile model ⋮ Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations ⋮ Regularization of Bayesian quasi-likelihoods constructed from complex estimating functions ⋮ Bootstrap Inference for Quantile-based Modal Regression ⋮ A direct approach to inference in nonparametric and semiparametric quantile models ⋮ Sieve instrumental variable quantile regression estimation of functional coefficient models ⋮ Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities ⋮ SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION ⋮ Finite-sample exact tests for linear regressions with bounded dependent variables ⋮ A closed-form estimator for quantile treatment effects with endogeneity ⋮ Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models ⋮ Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form ⋮ Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors ⋮ Nonparametric estimation and inference on conditional quantile processes

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