Search Results - subject:"Uniform Bahadur representation"

Nonparametric estimation and inference on conditional quantile processes

Qu, Zhongjun; Yoon, Jungmo - In: Journal of Econometrics 185 (2015) 1, pp. 1-19

to vary across quantiles to adapt to data sparsity. For inference, the paper first establishes a uniform Bahadur … representation and then shows that the two estimators converge weakly to the same limiting Gaussian process. As an empirical …

Persistent link: https://www.econbiz.de/10011190723

Nonparametric estimation and inference on conditional quantile processes

Qu, Zhongjun; Yoon, Jungmo - In: Journal of econometrics 185 (2015) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011339911

Nonparametric Estimation and Inference on Conditional Quantile Processes

Qu, Zhongjun; Yoon, Jungmo - Department of Economics, Boston University - 2011

We consider the estimation and inference about a nonparametrically specified con- ditional quantile process. For estimation, a two-step procedure is proposed. The first step utilizes local linear regressions and maintains quantile monotonicity through sim- ple inequality constraints. The second...

Persistent link: https://www.econbiz.de/10010779536