Measurement errors in quantile regression models

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dc.contributor.authorSERGIO PINHEIRO FIRPO
dc.contributor.authorGalvao, Antonio F.
dc.contributor.authorSong, Suyong
dc.coverage.paisNão Informadopt_BR
dc.creatorGalvao, Antonio F.
dc.creatorSong, Suyong
dc.date.accessioned2022-10-11T14:47:12Z
dc.date.available2022-10-11T14:47:12Z
dc.date.issued2017
dc.description.notesTexto Completopt_BR
dc.description.otherThis paper develops estimation and inference for quantile regression models with measurement errors. We propose an easily-implementable semiparametric two-step estimator when repeated measures for the covariates are available. Building on recent theory on Z-estimation with infinite-dimensional parameters, consistency and asymptotic normality of the proposed estimator are established. We also develop statistical inference procedures and show the validity of a bootstrap approach to implement the methods in practice. Monte Carlo simulations assess the finite-sample performance of the proposed methods. We apply the methods to the investment equation model using a firm-level data with repeated measures of investment demand, Tobin’s q. We document strong heterogeneity in the sensitivity of investment to Tobin’s q and cash flow across the conditional distribution of investment. The cash flow sensitivity is relatively larger at the lower part of the distribution, providing evidence that these firms are more exposed to and dependent on fluctuations in internal finance.pt_BR
dc.format.extentp. 46–164pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttps://doi.org/10.1016/j.jeconom.2017.02.002pt_BR
dc.identifier.issn0304-4076pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4227
dc.identifier.volume198pt_BR
dc.language.isoInglêspt_BR
dc.publisherElsevierpt_BR
dc.relation.ispartofJournal of Econometricspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsQuantile regressionpt_BR
dc.subject.keywordsMeasurement errorspt_BR
dc.subject.keywordsInvestment equationpt_BR
dc.titleMeasurement errors in quantile regression modelspt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://www.sciencedirect.com/science/article/pii/S0304407617300209?via%3Dihub
local.subject.cnpqCiências Exatas e da Terrapt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication1063735c-3cb1-4177-82ac-0d9814544887
relation.isAuthorOfPublication.latestForDiscovery1063735c-3cb1-4177-82ac-0d9814544887
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