Penalizing function based bandwidth choice in nonparametric quantile regression

In nonparametric mean regression various methods for bandwidth choice exist. These methods can roughly be divided into plug-in methods and methods based on penalizing functions. This paper uses the approach based on penalizing functions and adapt it to nonparametric quantile regression estimation, where bandwidth choice is still an unsolved problem. Various criteria for bandwitdth choice are defined and compared in some simulation examples.

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Year of publication:	2001-10
Authors:	Abberger, Klaus
Institutions:	Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften
Subject:	nonparametric quantile regression \| bandwidth choice \| crossvalidation \| penalizing functions

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Extent:	application/pdf
Series:	CoFE Discussion Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 01-10 14 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005357894