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Wild bootstrap for quantile regression

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  • Xingdong Feng
  • Xuming He
  • Jianhua Hu

Abstract

The existing theory of the wild bootstrap has focused on linear estimators. In this note, we broaden its validity by providing a class of weight distributions that is asymptotically valid for quantile regression estimators. As most weight distributions in the literature lead to biased variance estimates for nonlinear estimators of linear regression, we propose a modification of the wild bootstrap that admits a broader class of weight distributions for quantile regression. A simulation study on median regression is carried out to compare various bootstrap methods. With a simple finite-sample correction, the wild bootstrap is shown to account for general forms of heteroscedasticity in a regression model with fixed design points. Copyright 2011, Oxford University Press.

Suggested Citation

  • Xingdong Feng & Xuming He & Jianhua Hu, 2011. "Wild bootstrap for quantile regression," Biometrika, Biometrika Trust, vol. 98(4), pages 995-999.
    • Handle: RePEc:oup:biomet:v:98:y:2011:i:4:p:995-999
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    File URL: http://hdl.handle.net/10.1093/biomet/asr052
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