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Bootstrapping Quantile Regression Estimators

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  • Hahn, Jinyong

Abstract

The asymptotic variance matrix of the quantile regression estimator depends on the density of the error. For both deterministic and random regressors, the bootstrap distribution is shown to converge weakly to the limit distribution of the quantile regression estimator in probability. Thus, the confidence intervals constructed by the bootstrap percentile method have asymptotically correct coverage probabilities.

Suggested Citation

  • Hahn, Jinyong, 1995. "Bootstrapping Quantile Regression Estimators," Econometric Theory, Cambridge University Press, vol. 11(1), pages 105-121, February.
    • Handle: RePEc:cup:etheor:v:11:y:1995:i:01:p:105-121_00
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