Cover Image

Partial linear quantile regression and bootstrap confidence bands

Wolfgang Karl Härdle; Ya’acov Ritov; Song Song
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. -- Bootstrap ; Quantile Regression ; Confidence Bands ; Nonparametric Fitting ; Kernel Smoothing ; Partial Linear Model
Year of publication:
2010
Authors: Härdle, Wolfgang ; Ritov, Ya’acov ; Song, Song
Publisher: Berlin : SFB 649, Economic Risk
Subject: Regressionsanalyse | Regression analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Theorie | Theory
Extent:
Online-Ressource (31 S.)
graph. Darst.
Series:
SFB 649 discussion paper. - Berlin : [Verlag nicht ermittelbar], ISSN 1860-5664, ZDB-ID 2195055-6. - Vol. 2010,002
Type of publication: Book / Working Paper
Type of publication (narrower categories): Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language: English
Notes:
Systemvoraussetzungen: Acrobat Reader
Other identifiers:
hdl:10419/39310 [Handle]
Classification: C14 - Semiparametric and Nonparametric Methods ; C21 - Cross-Sectional Models; Spatial Models ; C31 - Cross-Sectional Models; Spatial Models ; J01 - Labor Economics: General ; J31 - Wage Level and Structure; Wage Differentials by Skill, Training, Occupation, etc ; J71 - Discrimination
Source:
ECONIS - Online Catalogue of the ZBW
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003952788
Similar items by subject
Similar items by person