Strong Consistency of Regression Quantiles and Related Empirical Processes
AbstractThe strong consistency of regression quantile statistics (Koenker and Bassett ) in linear models with iid errors is established. Mild regularity conditions on the regression design sequence and the error distribution are required. Strong consistency of the associated empirical quantile process (introduced in Bassett and Koenker ) is also established under analogous conditions. However, for the proposed estimate of the conditional distribution function of Y, no regularity conditions on the error distribution are required for uniform strong convergence, thus establishing a Glivenko-Cantelli-type theorem for this estimator.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 2 (1986)
Issue (Month): 02 (August)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:firstname.lastname@example.org
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Juliana GuimarÃƒÂ£es & (Universidade NOVA de Lisboa, 2004. "Has long become longer or short become shorter? Evidence from a censored quantile regression analysis of the changes in the distribution of U.S. unemployment duration," Econometric Society 2004 Latin American Meetings, Econometric Society 128, Econometric Society.
- Pedro Portugal, 2007.
"U.S. Unemployment Duration: Has Long Become Longer or Short Become Shorter?,"
Working Papers, Czech National Bank, Research Department
2007/17, Czech National Bank, Research Department.
- José Ferreira Machado & Pedro Portugal & Juliana Guimarães, 2006. "U.S. Unemployment Duration: Has Long Become Longer or Short Become Shorter?," Working Papers w200613, Banco de Portugal, Economics and Research Department.
- Machado, José & Portugal, Pedro & Guimarães, Juliana, 2006. "U.S. Unemployment Duration: Has Long Become Longer or Short Become Shorter?," IZA Discussion Papers 2174, Institute for the Study of Labor (IZA).
- Paolo Naticchioni & Andrea Ricci & Emiliano Rustichelli, 2007. "Wage Structure, Inequality And Skill-Biased Change: Is Italy An Outlier?," Quaderni del Dipartimento di Economia, Finanza e Statistica, UniversitÃ di Perugia, Dipartimento Economia, Finanza e Statistica 38/2007, UniversitÃ di Perugia, Dipartimento Economia, Finanza e Statistica.
- HÃ©ctor Ricardo Gertel & Roberto Giuliodori & MarÃa Luz Vera & Guadalupe Bastos & Sonia Costanzo, 2010. "Heterogeneidad en el desempeÃ±o acadÃ©mico de los estudiantes de Argentina: evidencia a partir de regresiÃ³n por cuantiles," Investigaciones de EconomÃa de la EducaciÃ³n volume 5, AsociaciÃ³n de EconomÃa de la EducaciÃ³n, in: MarÃa JesÃºs MancebÃ³n-Torrubia & Domingo P. XimÃ©nez-de-EmbÃºn & JosÃ© MarÃa GÃ³mez-Sancho & Greg (ed.), Investigaciones de EconomÃa de la EducaciÃ³n 5, edition 1, volume 5, chapter 6, pages 117-138 AsociaciÃ³n de EconomÃa de la EducaciÃ³n.
- El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya, 2013. "Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified," MPRA Paper 51150, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.