Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study

Buchinsky, Moshe

doi:10.1016/0304-4076(94)01652-g

Cited by 373 publications

(237 citation statements)

References 25 publications

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“…We solved the problem stated in Eq. (4) using the linear programming algorithm proposed by Koenker and D'Orey (1987) and computed the standard error for the estimated parameters using the bootstrapping procedure proposed by Buchinsky (1995). As for the DiD, as outlined in Section 2.2 above, we estimated Eq.…”

Section: Difference-in-differences Framework Via Quantile Regressionmentioning

confidence: 99%

Economic crisis and the unemployment effect on household food expenditure: The case of Spain

2017

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This paper examines the unemployment effect on food expenditure (UEFE) for Spanish households and quantifies its magnitude in boom and crisis periods. The results show that the UEFE was negative in both contexts but was reinforced during the economic crisis. Applying propensity score matching and difference-in-differences techniques to a sample of Spanish households for 2006 and 2013 (representative of a boom period and a crisis period, respectively), we found that the UEFE amounted to 2.9% in the boom period and to 4.5% in the crisis period. Quantile difference-in-differences estimates confirmed that the economic crisis enhanced the UEFE for Spanish households, with this effect decreasing continuously up to quantile 0.9. The UEFE was exacerbated mainly in those economically disadvantaged households.

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Section: Difference-in-differences Framework Via Quantile Regressionmentioning

confidence: 99%

Economic crisis and the unemployment effect on household food expenditure: The case of Spain

2017

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“…where Z is an n x k matrix of explanatory variables, fJo, is a k x 1 vector of coefficients to be izing bootstrap methods (for details see Buchinsky, 1994Buchinsky, , 1995.…”

Section: Estimation Methodsologymentioning

confidence: 99%

The impact of school quality on earnings and educational returns—evidence from a low-income country

Bedi

Edwards

2002

Journal of Development Economics

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particularly two anonymous referees for their comments and suggestions.The Institute of Social Studies is Europe's longest-established centre of higher education and research in development studies. Post-graduate teaching programmes range from six-week diploma courses to the PhD programme. Research at ISS is fundamental in the sense of laying a scientific basis for the formulation of appropriate development policies. The academic work of ISS is disseminated in the form of books, journal articles, teaching texts, monographs and working papers. The Working Paper series provides a forum for work in progress which seeks to elicit conu11ents and generate discussion. The series includes the research of staff, PhD participants and visiting fellows, and outstanding research papers by graduate students. ABSTRACTThe expansion of education has been widely adopted as a key element in the development strategies of low-income countries. While there is substantial evidence on the benefits of greater educational attainment for subsequent labor market earnings, empirical evidence on the role played by school quality is scarce. This paper combines household survey data with unique data on school quality, from Honduras, to study the importance of school quality as a detem1inant of earnings. Our objective measures of school quaiity capture teacher training, school infrastrncture and school crowding. The results display strong positive effects of school quality on earnings and on educational returns. These effects p~rsist across a variety of model specifications.

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“…Other estimators may be derived for specific cases, e.g., for the IV QR example, Powell's (1984) consistent estimator for G isĜ P = P n i=1 1(¯¯y i − w 0 iβ θ¯<ĉn )x i w 0 i /2ĉ n n whereĉ n p → 0 and satisfies the other regularity conditions stated in Powell (1984); see section 5.1. The Monte-Carlo study of Buchinsky (1995) for QR showed that the performance of kernel-based estimators, e.g.,Ĝ P , depends critically on the choice of kernel and bandwidth, the latter problem also shared by the numerical derivative estimator.…”

Section: Asymptotic Variance Matrix Estimationmentioning

confidence: 99%

Gel Methods for Nonsmooth Moment Indicators

Parente

Smith

2010

Econom. Theory

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This paper considers the first order large sample properties of the GEL class of estimators for models specified by non-smooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient GMM estimator which may suffer from substantial biases in finite samples. These include EL, ET and the CUE. This paper also establishes the validity of tests suggested in the smooth moment indicators case for over-identifying restrictions and specification. In particular, a number of these tests avoid the necessity of providing an estimator for the Jacobian matrix which may be problematic for the sample sizes typically encountered in practice.JEL Classification: C13, C30

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Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study

Cited by 373 publications

References 25 publications

Economic crisis and the unemployment effect on household food expenditure: The case of Spain

Economic crisis and the unemployment effect on household food expenditure: The case of Spain

The impact of school quality on earnings and educational returns—evidence from a low-income country

Gel Methods for Nonsmooth Moment Indicators

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