Publication Type

Journal Article

Publication Date

3-2016

Abstract

In this paper we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We estimate the functional coefficients by the sieve-IVQR technique and establish the uniform consistency and asymptotic normality of the estimators. Based on the sieve estimates, we propose a nonparametric specification test for the constancy of the functional coefficients and study its asymptotic. We conduct simulations to evaluate the finite sample behavior of our estimator and test statistic, and apply our method to study the estimation of quantile Engel curves.

Keywords

Endogeneity, Functional coefficient, Heterogeneity, Instrumental variable, Panel data, Sieve estimation, Specification test, Structural quantile function

Discipline

Econometrics

Research Areas

Econometrics

Publication

Journal of Econometrics

Volume

191

Issue

1

First Page

231

Last Page

254

ISSN

0304-4076

Identifier

10.1016/j.jeconom.2015.10.006

Publisher

Elsevier: 24 months

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://dx.doi.org/10.1016/j.jeconom.2015.10.006

Included in

Econometrics Commons

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