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Testing For Monotonicity In Unobservables Under Unconfoundedness, Stefan Hoderlein, Liangjun Su, Halbert White, Thomas Tao Yang
Testing For Monotonicity In Unobservables Under Unconfoundedness, Stefan Hoderlein, Liangjun Su, Halbert White, Thomas Tao Yang
Research Collection School Of Economics
Monotonicity in a scalar unobservable is a common assumption when modeling heterogeneity in structural models. Among other things, it allows one to recover the underlying structural function from certain conditional quantiles of observables. Nevertheless, monotonicity is a strong assumption and in some economic applications unlikely to hold, e.g., random coefficient models. Its failure can have substantive adverse consequences, in particular inconsistency of any estimator that is based on it. Having a test for this hypothesis is hence desirable. This paper provides such a test for cross-section data. We show how to exploit an exclusion restriction together With a conditional independence …
Sieve Instrumental Variable Quantile Regression Estimation Of Functional Coefficient Models, Liangjun Su, Tadao Hoshino
Sieve Instrumental Variable Quantile Regression Estimation Of Functional Coefficient Models, Liangjun Su, Tadao Hoshino
Research Collection School Of Economics
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.
Common Threshold In Quantile Regressions With An Application To Pricing For Reputation, Liangjun Su, Pai Xu, Heng Ju
Common Threshold In Quantile Regressions With An Application To Pricing For Reputation, Liangjun Su, Pai Xu, Heng Ju
Research Collection School Of Economics
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 …
Testing For Monotonicity In Unobservables Under Unconfoundedness, Stefan Hoderlein, Liangjun Su, Halbert White, Thomas Tao Yang
Testing For Monotonicity In Unobservables Under Unconfoundedness, Stefan Hoderlein, Liangjun Su, Halbert White, Thomas Tao Yang
Research Collection School Of Economics
Monotonicity in a scalar unobservable is a common assumption when modeling heterogeneity in structural models. Among other things, it allows one to recover the underlying structural function from certain conditional quantiles of observables. Nevertheless, monotonicity is a strong assumption and in some economic applications unlikely to hold, e.g., random coefficient models. Its failure can have substantive adverse consequences, in particular inconsistency of any estimator that is based on it. Having a test for this hypothesis is hence desirable. This paper provides such a test for cross-section data. We show how to exploit an exclusion restriction together with a conditional independence …