Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion

A-Tier
Journal: Journal of Econometrics
Year: 2015
Volume: 185
Issue: 1
Pages: 20-32

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

To estimate a sample quantile’s variance, the quantile spacing method involves smoothing parameter m. When m,n→∞, the corresponding Studentized test statistic is asymptotically N(0,1). Holding m fixed instead, the asymptotic distribution contains the Edgeworth expansion term capturing the variance of the quantile spacing. Consequently, the fixed-m distribution is more accurate than the standard normal under both asymptotic frameworks. A testing-optimal m is proposed to maximize power subject to size control. In simulations, the new method controls size better than similar methods while maintaining good power. Throughout are results for two-sample quantile treatment effect inference. Code is available online.

Technical Details

RePEc Handle
repec:eee:econom:v:185:y:2015:i:1:p:20-32
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25