IDEAS home Printed from https://ideas.repec.org/a/fec/journl/v9y2014i2p165-173.html
   My bibliography  Save this article

A Note on Covariance Matrix Estimation in Quantile Regressions

Author

Listed:
  • Hongtao Guo

    (Bertolon School of Business, Salem State University, Salem, MA 01970, USA)

  • Zhijie Xiao

    (Department of Economics, Boston College, Chestnut Hill, MA 02467, USA)

Abstract

This note discusses some issues related to bandwidth selection based on moment expansions of the mean squared error (MSE) of the regression quantile estimator. We use higher order expansions to provide a way to distinguish among asymptotically equivalent nonparametric estimators. We derive approximations to the (standardized) MSE of the covariance matrix estimation. This facilitates a comparison of different estimators at the second order level, where differences do occur and depend on the bandwidth choice. A method of bandwidth selection is defined by minimizing the second order effect in the mean squared error.

Suggested Citation

  • Hongtao Guo & Zhijie Xiao, 2014. "A Note on Covariance Matrix Estimation in Quantile Regressions," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 9(2), pages 165-173, June.
    • Handle: RePEc:fec:journl:v:9:y:2014:i:2:p:165-173
    as

    Download full text from publisher

    File URL: http://journal.hep.com.cn/fec/EN/10.3868/s060-003-014-0009-3
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    bandwidth selection; expansion; quantile regression;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fec:journl:v:9:y:2014:i:2:p:165-173. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Frank H. Liu (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.