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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2100 https://ink.library.smu.edu.sg/context/soe_research/article/3100/viewcontent/Common_threshold_in_quantile_regressions_reputation_2017_av.pdf https://ink.library.smu.edu.sg/context/soe_research/article/3100/filename/0/type/additional/viewcontent/common_threshold_QR_er_20160818_suppl.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
Internet
https://ink.library.smu.edu.sg/soe_research/2100https://ink.library.smu.edu.sg/context/soe_research/article/3100/viewcontent/Common_threshold_in_quantile_regressions_reputation_2017_av.pdf
https://ink.library.smu.edu.sg/context/soe_research/article/3100/filename/0/type/additional/viewcontent/common_threshold_QR_er_20160818_suppl.pdf