A Simple Nonparametric Approach for Estimation and Inference of Conditional Quantile Functions PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download A Simple Nonparametric Approach for Estimation and Inference of Conditional Quantile Functions PDF full book. Access full book title A Simple Nonparametric Approach for Estimation and Inference of Conditional Quantile Functions by Zheng Fang. Download full books in PDF and EPUB format.

A Simple Nonparametric Approach for Estimation and Inference of Conditional Quantile Functions

A Simple Nonparametric Approach for Estimation and Inference of Conditional Quantile Functions PDF Author: Zheng Fang
Publisher:
ISBN:
Category :
Languages : en
Pages : 53

Get Book Here

Book Description
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. The Monte Carlo simulations show that our new estimator compares well with the checkfunction-based estimator in terms of estimation mean squared error (MSE), and the bootstrap confidence bands give adequate coverage probabilities. An empirical example considering a dataset from Canadian high school graduate earnings illustrates that the proposed method delivers a more reasonable quantile estimate than the check-function counterpart.