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Quantile-regression inference with adaptive control of size

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorEscanciano, Juan Carlos
dc.contributor.authorGoh, Sze Chuan
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.date.accessioned2022-06-10T12:37:01Z
dc.date.available2022-06-10T12:37:01Z
dc.date.issued2019-07-01
dc.description.abstractRegression quantiles have asymptotic variances that depend on the conditional densities of the response variable given regressors. This article develops a new estimate of the asymptotic variance of regression quantiles that leads any resulting Wald-type test or confidence region to behave as well in large samples as its infeasible counterpart in which the true conditional response densities are embedded. We give explicit guidance on implementing the new variance estimator to control adaptively the size of any resulting Wald-type test. Monte Carlo evidence indicates the potential of our approach to deliver powerful tests of heterogeneity of quantile treatment effects in covariates with good size performance over different quantile levels, data-generating processes, and sample sizes. We also include an empirical example. Supplementary material is available onlineen
dc.description.sponsorshipThis work was partially supported by the Spanish Plan Nacional de I+D+I, reference number ECO2014-55858-P.en
dc.identifier.bibliographicCitationEscanciano, J. C., & Goh, S. C. (2018). Quantile-Regression Inference With Adaptive Control of Size. Journal of the American Statistical Association, 114 (527), pp. 1382-1393.en
dc.identifier.doihttps://doi.org/10.1080/01621459.2018.1505624
dc.identifier.issn0162-1459
dc.identifier.publicationfirstpage1382es
dc.identifier.publicationissue527es
dc.identifier.publicationlastpage1393es
dc.identifier.publicationtitleJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATIONen
dc.identifier.publicationvolume114es
dc.identifier.urihttps://hdl.handle.net/10016/35068
dc.identifier.uxxiAR/0000024987
dc.language.isoenges
dc.publisherTaylor & Francisen
dc.relation.projectIDGobierno de España. ECO2014-55858-Pes
dc.rights© 2018 American Statistical Associationen
dc.rightsAtribución-NoComercial 3.0 España*
dc.rights.accessRightsopen accesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc/3.0/es/*
dc.subject.ecienciaEconomíaes
dc.subject.otherAsymptotic varianceen
dc.subject.otherConditional density estimationen
dc.subject.otherRegression quantileen
dc.subject.otherStandard erroren
dc.titleQuantile-regression inference with adaptive control of sizeen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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