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A CONSISTENT NONPARAMETRIC EQUALITY TEST OF CONDITIONAL QUANTILE FUNCTIONS

  • Yiguo Sun (a1)
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.

Copyright
© 2006 Cambridge University Press
Corresponding author
Address correspondence to Yiguo Sun, Department of Economics, University of Guelph, Guelph, Ontario, Canada N1G 2W1; e-mail: yisun@uoguelph.ca.
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
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