Asymptotics for argmin processes: Convexity arguments
The convexity arguments developed by Pollard [D. Pollard, Asymptotics for least absolute deviation regression estimators, Econometric Theory 7 (1991) 186-199], Hjort and Pollard [N.L. Hjort, D. Pollard, Asymptotics for minimizers of convex processes, 1993 (unpublished manuscript)], and Geyer [C.J. Geyer, On the asymptotics of convex stochastic optimization, 1996 (unpublished manuscript)] are now basic tools for investigating the asymptotic behavior of M-estimators with non-differentiable convex objective functions. This paper extends the scope of convexity arguments to the case where estimators are obtained as stochastic processes. Our convexity arguments provide a simple proof for the asymptotic distribution of regression quantile processes. In addition to quantile regression, we apply our technique to LAD (least absolute deviation) inference for threshold regression.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 100 (2009)
Issue (Month): 8 (September)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
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.:
- Davis, Richard A. & Knight, Keith & Liu, Jian, 1992. "M-estimation for autoregressions with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 145-180, February.
- Hansen, B.E., 1991.
"Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis,"
RCER Working Papers
296, University of Rochester - Center for Economic Research (RCER).
- Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
- Koenker,Roger, 2005.
Cambridge University Press, number 9780521608275.
- Joshua Angrist & Victor Chernozhukov & Ivan Fernandez-Val, 2004.
"Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure,"
NBER Working Papers
10428, National Bureau of Economic Research, Inc.
- Joshua Angrist & Victor Chernozhukov & Iván Fernández-Val, 2006. "Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure," Econometrica, Econometric Society, vol. 74(2), pages 539-563, 03.
- Caner, Mehmet, 2002. "A Note On Least Absolute Deviation Estimation Of A Threshold Model," Econometric Theory, Cambridge University Press, vol. 18(03), pages 800-814, June.
- Bruce E. Hansen, 1996.
"Sample Splitting and Threshold Estimation,"
Boston College Working Papers in Economics
319., Boston College Department of Economics, revised 12 May 1998.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:100:y:2009:i:8:p:1816-1829. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
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.