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2009-11-04Zeitschriftenartikel DOI: 10.18452/21785
Confidence bands in quantile regression
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorSong, Song
dc.date.accessioned2020-08-25T09:45:02Z
dc.date.available2020-08-25T09:45:02Z
dc.date.issued2009-11-04none
dc.identifier.urihttp://edoc.hu-berlin.de/18452/22497
dc.descriptionThis 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.abstractLet (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.isoengnone
dc.publisherHumboldt-Universität zu Berlin
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectEconomics and Econometricseng
dc.subjectSocial Sciences (miscellaneous)eng
dc.subject.ddc330 Wirtschaftnone
dc.titleConfidence bands in quantile regressionnone
dc.typearticle
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/22497-0
dc.identifier.doihttp://dx.doi.org/10.18452/21785
dc.type.versionpublishedVersionnone
local.edoc.pages21none
local.edoc.type-nameZeitschriftenartikel
local.edoc.container-typeperiodical
local.edoc.container-type-nameZeitschrift
local.edoc.container-year2010none
dc.identifier.eissn1469-4360
dcterms.bibliographicCitation.doi10.1017/s0266466609990491
dcterms.bibliographicCitation.journaltitleEconometric theorynone
dcterms.bibliographicCitation.volume26none
dcterms.bibliographicCitation.issue4none
dcterms.bibliographicCitation.originalpublishernameCambridge Univ. Pressnone
dcterms.bibliographicCitation.originalpublisherplaceCambridgenone
dcterms.bibliographicCitation.pagestart1180none
dcterms.bibliographicCitation.pageend1200none
bua.departmentWirtschaftswissenschaftliche Fakultätnone

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