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- W2150178984 abstract "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." @default.
- W2150178984 created "2016-06-24" @default.
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- W2150178984 date "2016-03-01" @default.
- W2150178984 modified "2023-09-24" @default.
- W2150178984 title "Sieve instrumental variable quantile regression estimation of functional coefficient models" @default.
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- W2150178984 doi "https://doi.org/10.1016/j.jeconom.2015.10.006" @default.
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