A CONSISTENT NONPARAMETRIC EQUALITY TEST OF CONDITIONAL QUANTILE FUNCTIONS

Yiguo Sun

Econometric Theory, 2006, vol. 22, issue 4, 614-632

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.

Date: 2006
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Working Paper: A Consistent Nonparametric Equality Test of Conditional Quantile Functions (2003)
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