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Finite sample inference for quantile regression models
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DOI：10.1016/j.jeconom.2009.01.004.png)
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Abstract
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Under minimal assumptions, finite sample confidence bands for quantile regression models can be constructed. These confidence bands are based on the conditional pivotal property of estimating equations that quantile regression methods solve and provide valid finite sample inference for linear and nonlinear quantile models with endogenous or exogenous covariates. The confidence regions can be computed using Markov Chain Monte Carlo (MCMC) methods. We illustrate the finite sample procedure through two empirical examples: estimating a heterogeneous demand elasticity and estimating heterogeneous returns to schooling. We find pronounced differences between asymptotic and finite sample confidence regions in cases where the usual asymptotics are Suspect. (C) 2009 Elsevier B.V. All rights reserved.
Keywords:
Extremal quantile regression
Instrumental quantile regression
Partial identification
Weak identification
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