Partial Linear Quantile Regression and Bootstrap Confidence Bands
In this paper uniform confidence bands are constructed for nonparametric quantile estimates of regression functions. The method is based on the bootstrap, where resampling is done from a suitably estimated empirical density function (edf) for residuals. It is known that the approximation error for the uniform confidence band by the asymptotic Gumbel distribution is logarithmically slow. It is proved that the bootstrap approximation provides a substantial improvement. The case of multidimensional and discrete regressor variables is dealt with using a partial linear model. Comparison to classic asymptotic uniform bands is presented through a simulation study. An economic application considers the labour market differential effect with respect to different education levels.
|Date of creation:||Jan 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://sfb649.wiwi.hu-berlin.de
More information through EDIRC
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.:
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Kuan, Chung-Ming & Yeh, Jin-Huei & Hsu, Yu-Chin, 2009. "Assessing value at risk with CARE, the Conditional Autoregressive Expectile models," Journal of Econometrics, Elsevier, vol. 150(2), pages 261-270, June.
- Buchinsky, Moshe, 1995. "Quantile regression, Box-Cox transformation model, and the U.S. wage structure, 1963-1987," Journal of Econometrics, Elsevier, vol. 65(1), pages 109-154, January.
- Gary S. Becker, 1994. "Human Capital: A Theoretical and Empirical Analysis with Special Reference to Education (3rd Edition)," NBER Books, National Bureau of Economic Research, Inc, number beck94-1.
- Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall.
- Joel L. Horowitz, 1996.
"Bootstrap Methods for Median Regression Models,"
- Efang Kong & Oliver Linton & Yingcun Xia, 2009.
"Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model,"
STICERD - Econometrics Paper Series
/2009/535, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Kong, Efang & Linton, Oliver & Xia, Yingcun, 2010. "Uniform Bahadur Representation For Local Polynomial Estimates Of M-Regression And Its Application To The Additive Model," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1529-1564, October.
- Hahn, Jinyong, 1995. "Bootstrapping Quantile Regression Estimators," Econometric Theory, Cambridge University Press, vol. 11(01), pages 105-121, February.
- Liang, Hua & Li, Runze, 2009. "Variable Selection for Partially Linear Models With Measurement Errors," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 234-248.
- Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
- Victor Chernozhukov & Sokbae 'Simon' Lee & Adam Rosen, 2011.
"Intersection bounds: estimation and inference,"
CeMMAP working papers
CWP34/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Sokbae 'Simon' Lee & Adam Rosen, 2009. "Intersection Bounds: estimation and inference," CeMMAP working papers CWP19/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Sokbae 'Simon' Lee & Adam Rosen, 2012. "Intersection bounds: estimation and inference," CeMMAP working papers CWP33/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-47, July.
- Alexandre Belloni & Victor Chernozhukov, 2009. "L1-Penalized quantile regression in high-dimensional sparse models," CeMMAP working papers CWP10/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Robinson, P M, 1988. "Semiparametric Econometrics: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(1), pages 35-51, January.
When requesting a correction, please mention this item's handle: RePEc:hum:wpaper:sfb649dp2010-002. 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: (RDC-Team)
If references are entirely missing, you can add them using this form.