Common Threshold in Quantile Regressions with an Application to Pricing for Reputation

Common Threshold in Quantile Regressions with an Application to Pricing for Reputation

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 t...

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Bibliographic Details
Main Authors: SU, Liangjun, XU, Pai, JU, Heng
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
Common threshold effect
Pricing strategy
Regime change
Specification test
Threshold quantile regression
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1784
https://ink.library.smu.edu.sg/context/soe_research/article/2783/viewcontent/02_2016.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1784
https://ink.library.smu.edu.sg/context/soe_research/article/2783/viewcontent/02_2016.pdf

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