Confidence bands in quantile regression
dc.contributor.author | Härdle, Wolfgang Karl | |
dc.contributor.author | Song, Song | |
dc.date.accessioned | 2020-08-25T09:45:02Z | |
dc.date.available | 2020-08-25T09:45:02Z | |
dc.date.issued | 2009-11-04 | none |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/22497 | |
dc.description | This publication is with permission of the rights owner freely accessible due to an Alliance licence and a national licence (funded by the DFG, German Research Foundation) respectively. | none |
dc.description.abstract | Let (X1, Y1), …, (Xn, Yn) be independent and identically distributed random variables and let l(x) be the unknown p-quantile regression curve of Y conditional on X. A quantile smoother ln(x) is a localized, nonlinear estimator of l(x). The strong uniform consistency rate is established under general conditions. In many applications it is necessary to know the stochastic fluctuation of the process {ln(x) – l(x)}. Using strong approximations of the empirical process and extreme value theory, we consider the asymptotic maximal deviation sup0≤x≤1 |ln(x) − l(x)|. The derived result helps in the construction of a uniform confidence band for the quantile curve l(x). This confidence band can be applied as a econometric model check. An economic application considers the relation between age and earnings in the labor market by means of parametric model specification tests, which presents a new framework to describe trends in the entire wage distribution in a parsimonious way. | eng |
dc.language.iso | eng | none |
dc.publisher | Humboldt-Universität zu Berlin | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | Economics and Econometrics | eng |
dc.subject | Social Sciences (miscellaneous) | eng |
dc.subject.ddc | 330 Wirtschaft | none |
dc.title | Confidence bands in quantile regression | none |
dc.type | article | |
dc.identifier.urn | urn:nbn:de:kobv:11-110-18452/22497-0 | |
dc.identifier.doi | http://dx.doi.org/10.18452/21785 | |
dc.type.version | publishedVersion | none |
local.edoc.pages | 21 | none |
local.edoc.type-name | Zeitschriftenartikel | |
local.edoc.container-type | periodical | |
local.edoc.container-type-name | Zeitschrift | |
local.edoc.container-year | 2010 | none |
dc.identifier.eissn | 1469-4360 | |
dcterms.bibliographicCitation.doi | 10.1017/s0266466609990491 | |
dcterms.bibliographicCitation.journaltitle | Econometric theory | none |
dcterms.bibliographicCitation.volume | 26 | none |
dcterms.bibliographicCitation.issue | 4 | none |
dcterms.bibliographicCitation.originalpublishername | Cambridge Univ. Press | none |
dcterms.bibliographicCitation.originalpublisherplace | Cambridge | none |
dcterms.bibliographicCitation.pagestart | 1180 | none |
dcterms.bibliographicCitation.pageend | 1200 | none |
bua.department | Wirtschaftswissenschaftliche Fakultät | none |