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A CONSISTENT NONPARAMETRIC EQUALITY TEST OF CONDITIONAL QUANTILE FUNCTIONS

Published online by Cambridge University Press:  23 May 2006

Yiguo Sun
Yiguo Sun
Affiliation:
University of Guelph
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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.

Type
Research Article
Information
Econometric Theory , Volume 22 , Issue 4 , August 2006 , pp. 614 - 632
Copyright
© 2006 Cambridge University Press

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