条件分位数函数的一致非参数相等性检验

A CONSISTENT NONPARAMETRIC EQUALITY TEST OF CONDITIONAL QUANTILE FUNCTIONS

Econometric Theory · 2006
被引 26
人大 A-ABS 4

中文导读

提出了一种在调查数据框架下检验不同子组条件分位数曲线是否相等的一致非参数检验方法,并改进了小样本下的wild bootstrap程序,蒙特卡洛模拟显示其性能良好。

Abstract

This paper proposes a consistent nonparametric test for testing for equality of unknown conditional quantile curves across subgroups within a survey data framework. Moreover, to improve the small-sample performance of the test, we propose a modified version of wild bootstrap procedure in a quantile context. Monte Carlo evidence shows that the performance of the test in small samples is adequate but is improved significantly when the bootstrap critical values are used.I thank the co-editor and two referees for helpful comments that improved the paper. Financial support from the Social Sciences and Humanities Research Council of Canada is gratefully acknowledged.

非参数检验条件分位数函数分位数回归自助法