A SIMPLE NONPARAMETRIC APPROACH FOR ESTIMATION AND INFERENCE OF CONDITIONAL QUANTILE FUNCTIONS
Keyword(s):
In this paper, we present a new nonparametric method for estimating a conditional quantile function and develop its weak convergence theory. The proposed estimator is computationally easy to implement and automatically ensures quantile monotonicity by construction. For inference, we propose to use a residual bootstrap method. Our Monte Carlo simulations show that this new estimator compares well with the check-function-based estimator in terms of estimation mean squared error. The bootstrap confidence bands yield adequate coverage probabilities. An empirical example uses a dataset of Canadian high school graduate earnings, illustrating the usefulness of the proposed method in applications.
2018 ◽
Vol 11
(3)
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pp. 44
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2019 ◽
Vol 19
(2)
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pp. 261-293
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