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Specification analysis of linear quantile models

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorEscanciano, Juan Carlos
dc.contributor.authorGoh, Sze Chuan
dc.contributor.funderMinisterio de Educación y Ciencia (España)es
dc.date.accessioned2022-06-13T18:31:16Z
dc.date.available2022-06-13T18:31:16Z
dc.date.issued2014-01-01
dc.description.abstractThis paper introduces a nonparametric test for the correct specification of a linear conditional quantile function over a continuum of quantile levels. These tests may be applied to assess the validity of post-estimation inferences regarding the effect of conditioning variables on the distribution of outcomes. We show that the use of an orthogonal projection on the tangent space of nuisance parameters at each quantile index both improves power and facilitates the simulation of critical values via the application of a simple multiplier bootstrap procedure. Monte Carlo evidence and an application to the empirical analysis of age-earnings curves are included.en
dc.description.sponsorshipEscanciano acknowledges the support of the Spanish Plan Nacional de I+D+I, reference number SEJ2007-62908.en
dc.identifier.bibliographicCitationEscanciano, J. C., & Goh, S. C. (2014). Specification analysis of linear quantile models. Journal of Econometrics, 178, pp. 495-507.en
dc.identifier.doihttps://doi.org/10.1016/j.jeconom.2013.07.006
dc.identifier.issn0304-4076
dc.identifier.publicationfirstpage495es
dc.identifier.publicationissue3es
dc.identifier.publicationlastpage507es
dc.identifier.publicationtitleJOURNAL OF ECONOMETRICSen
dc.identifier.publicationvolume178es
dc.identifier.urihttps://hdl.handle.net/10016/35103
dc.identifier.uxxiAR/0000029589
dc.language.isoenges
dc.publisherElsevieres
dc.relation.projectIDGobierno de España. SEJ2007-62908es
dc.rights© Elsevier, 2013es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEconomíaes
dc.subject.jelC12
dc.subject.jelC31
dc.subject.jelC52
dc.subject.otherQuantile regressionen
dc.subject.otherSpecification testsen
dc.subject.otherEmpirical processesen
dc.subject.otherWild bootstrapen
dc.titleSpecification analysis of linear quantile modelsen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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