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4. Measurement errors in quantile regression models

Tipo de Material:	Artigo Científico
Titulo:	Measurement errors in quantile regression models
Autor:	Firpo, Sergio Pinheiro Galvao, Antonio F. Song, Suyong
Fecha de Publicación:	2017
Resumen en ingles:	This 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.
Keywords (términos en inglés):	Quantile regression Measurement errors Investment equation
Idioma:	Inglês
Area del CNPq:	Ciências Exatas e da Terra
URI:	https://www.sciencedirect.com/science/article/pii/S0304407617300209?via%3Dihub
Licencias de uso:	O 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.
Notas:	Texto Completo
Aparece en las colecciones:	Coleção de Artigos Científicos

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