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Smoothed Empirical Likelihood Methods for Quantile Regression Models Author info | Abstract | Publisher info | Download info | Related research | Statistics Yoon-Jae Whang
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The standard confidence regions based on the first-order approximation of quantile regression estimators can be inaccurate in small samples. We show that confidence regions based on the smoothed empirical likelihood ratio have coverage errors of order n^{-1} and may be Bartlett-corrected to produce regions with an error of order n^{-2}, where n denotes the sample size. We further extend these results to censored quantile regression models. Our results are extensions of the previous results of Chen and Hall (1993) to the regression contexts. Also, from the duality of confidence regions and hypothesis tess, our results imply that the smoothed empirical likelihood confidence regions might be more accurate in small samples than the confidence regions that can be constructed from the smoothed bootstrap method recently suggested by Horowitz (1998).
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Paper provided by EconWPA in its series Econometrics with number
0310005.
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Length: 32 pages
Date of creation: 23 Oct 2003Date of revision:
Handle: RePEc:wpa:wuwpem:0310005Note: Type of Document - pdf; prepared on winXP; pages: 32; figures: 2Contact details of provider: Web page: http://129.3.20.41
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Keywords: Bartlett correction ; Bootstrap ; Edgeworth expansion ; Empirical likelihood ; Quantile regression model ; Censored quantile regression model ; Other versions of this item:
Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
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references Cited by : (explanations , 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.)
Paulo Parente & Richard Smith, 2008.
"GEL methods for non-smooth moment indicators ,"
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Giuseppe Ragusa, 2008.
"Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions ,"
Working Papers
080906, University of California-Irvine, Department of Economics.
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