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Quantreg.nonpar: an R package for performing nonparametric series quantile regression

Author

Listed:
  • Michael Lipsitz

    (Institute for Fiscal Studies)

  • Alexandre Belloni

    (Institute for Fiscal Studies)

  • Victor Chernozhukov

    () (Institute for Fiscal Studies and MIT)

  • Ivan Fernandez-Val

    (Institute for Fiscal Studies and Boston University)

Abstract

The R package quantreg.nonpar implements nonparametric quantile regression methods to estimate and make inference on partially linear quantile models. quantreg.nonpar obtains point estimates of the conditional quantile function and its derivatives based on series approximations to the nonparametric part of the model. It also provides pointwise and uniform confidence intervals over a region of covariate values and/or quantile indices for the same functions using analytical and resampling methods. This paper serves as an introduction to the package and displays basic functionality of the functions contained within.

Suggested Citation

  • Michael Lipsitz & Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val, 2017. "Quantreg.nonpar: an R package for performing nonparametric series quantile regression," CeMMAP working papers CWP29/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  • Handle: RePEc:ifs:cemmap:29/17
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