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Quantile regression estimation of partially linear additive models

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  • Tadao Hoshino

Abstract

In this paper, we consider the estimation of partially linear additive quantile regression models where the conditional quantile function comprises a linear parametric component and a nonparametric additive component. We propose a two-step estimation approach: in the first step, we approximate the conditional quantile function using a series estimation method. In the second step, the nonparametric additive component is recovered using either a local polynomial estimator or a weighted Nadaraya-Watson estimator. Both consistency and asymptotic normality of the proposed estimators are established. Particularly, we show that the first-stage estimator for the finite-dimensional parameters attains the semiparametric efficiency bound under homoskedasticity, and that the second-stage estimators for the nonparametric additive component have an oracle efficiency property. Monte Carlo experiments are conducted to assess the finite sample performance of the proposed estimators. An application to a real data set is also illustrated.

Suggested Citation

  • Tadao Hoshino, 2014. "Quantile regression estimation of partially linear additive models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(3), pages 509-536, September.
  • Handle: RePEc:taf:gnstxx:v:26:y:2014:i:3:p:509-536
    DOI: 10.1080/10485252.2014.929675
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    References listed on IDEAS

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    Cited by:

    1. Phathutshedzo Mpfumali & Caston Sigauke & Alphonce Bere & Sophie Mulaudzi, 2019. "Day Ahead Hourly Global Horizontal Irradiance Forecasting—Application to South African Data," Energies, MDPI, Open Access Journal, vol. 12(18), pages 1-28, September.
    2. Seongil Jo & Taeyoung Roh & Taeryon Choi, 2016. "Bayesian spectral analysis models for quantile regression with Dirichlet process mixtures," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(1), pages 177-206, March.
    3. Lebotsa, Moshoko Emily & Sigauke, Caston & Bere, Alphonce & Fildes, Robert & Boylan, John E., 2018. "Short term electricity demand forecasting using partially linear additive quantile regression with an application to the unit commitment problem," Applied Energy, Elsevier, vol. 222(C), pages 104-118.

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