Efficient Estimation of an Additive Quantile Regression Model
AbstractIn this paper two kernel-based nonparametric estimators are proposed for estimating the components of an additive quantile regression model. The first estimator is a computationally convenient approach which can be viewed as a viable alternative to the method of De Gooijer and Zerom (2003). With the aim to reduce variance of the first estimator, a second estimator is defined via sequential fitting of univariate local polynomial quantile smoothing for each additive component with the other additive components replaced by the corresponding estimates from the first estimator. The second estimator achieves oracle efficiency in the sense that each estimated additive component has the same variance as in the case when all other additive components were known. Asymptotic properties are derived for both estimators under dependent processes that are strictly stationary and absolutely regular. We also provide a demonstrative empirical application of additive quantile models to ambulance travel times.
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Bibliographic InfoArticle provided by Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association in its journal Scandinavian Journal of Statistics.
Volume (Year): 38 (2011)
Issue (Month): 1 (03)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0303-6898
Other versions of this item:
- Cheng, Yebin & De Gooijer, Jan & Zerom, Dawit, 2009. "Efficient Estimation of an Additive Quantile Regression Model," MPRA Paper 14388, University Library of Munich, Germany.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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