Publication Type

Journal Article

Version

acceptedVersion

Publication Date

4-2019

Abstract

The paper develops a systematic estimation and inference procedure for quantile regression models where there may exist a common threshold effect across different quantile indices. We first propose a sup-Wald test for the existence of a threshold effect, and then study the asymptotic properties of the estimators in a threshold quantile regression model under the shrinking-threshold-effect framework. We consider several tests for the presence of a common threshold value across different quantile indices and obtain their limiting distributions. We apply our methodology to study the pricing strategy for reputation via the use of a dataset from Taobao.com. In our economic model, an online seller maximizes the sum of the profit from current sales and the possible future gain from a targeted higher reputation level. We show that the model can predict a jump in optimal pricing behavior, which is considered as “reputation effect” in this paper. The use of threshold quantile regression model allows us to identify and explore the reputation effect and its heterogeneity in data. We find both reputation effects and common thresholds for a range of quantile indices in seller’s pricing strategy in our application.

Keywords

Common threshold effect, Pricing strategy, Regime change, Specification test, Threshold quantile regression

Discipline

Econometrics

Research Areas

Econometrics

Publication

Econometric Reviews

Volume

38

Issue

4

First Page

417

Last Page

450

ISSN

0747-4938

Identifier

10.1080/07474938.2017.1318469

Publisher

Taylor & Francis

Copyright Owner and License

Authors

Additional Files
common_threshold_QR_er_20160818_suppl.pdf (142 kB)

Additional URL

https://doi.org/10.1080/07474938.2017.1318469

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