On Bootstrap Inference for Quantile Regression Panel Data: A Monte Carlo Study
Antonio F. Galvao () and
Gabriel Montes-Rojas ()
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Antonio F. Galvao: Department of Economics, University of Iowa, W284 PBB, 21 E. Market Street, Iowa City, IA 52242, USA
Econometrics, 2015, vol. 3, issue 3, 1-13
This paper evaluates bootstrap inference methods for quantile regression panel data models. We propose to construct confidence intervals for the parameters of interest using percentile bootstrap with pairwise resampling. We study three different bootstrapping procedures. First, the bootstrap samples are constructed by resampling only from cross-sectional units with replacement. Second, the temporal resampling is performed from the time series. Finally, a more general resampling scheme, which considers sampling from both the cross-sectional and temporal dimensions, is introduced. The bootstrap algorithms are computationally attractive and easy to use in practice. We evaluate the performance of the bootstrap confidence interval by means of Monte Carlo simulations. The results show that the bootstrap methods have good finite sample performance for both location and location-scale models.
Keywords: quantile regression; bootstrap; fixed effects (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jecnmx:v:3:y:2015:i:3:p:654-666:d:55584
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