Electronic Resource
New York
:
Cambridge University Press
Econometric theory
11 (1995), S. 105-121
ISSN:
0266-4666
Source:
Cambridge Journals Digital Archives
Topics:
Economics
Notes:
The asymptotic variance matrix of the quantile regression estimator depends on the density of the error. For both deterministic and random regressors, the bootstrap distribution is shown to converge weakly to the limit distribution of the quantile regression estimator in probability. Thus, the confidence intervals constructed by the bootstrap percentile method have asymptotically correct coverage probabilities.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1017/S0266466600009051
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