Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates
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Publication:2330729
DOI10.1016/j.jeconom.2019.04.037zbMath1452.62277MaRDI QIDQ2330729
Q. Li, Degui Li, Zheng Li, Xirong Chen
Publication date: 23 October 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://eprints.whiterose.ac.uk/145587/1/CLLL_2018166_0128_full_30_April_2019.pdf
cross-validation; screening; nonparametric quantile regression; discrete regressors; irrelevant covariates
62P20: Applications of statistics to economics
62G08: Nonparametric regression and quantile regression
62G07: Density estimation