Conditional quantile processes based on series or many regressors

DOI10.1016/J.JECONOM.2019.04.003zbMATH Open1456.62067arXiv1105.6154OpenAlexW3125699207WikidataQ127889600 ScholiaQ127889600MaRDI QIDQ2330744FDOQ2330744

Authors: Victor Chernozhukov, Denis Chetverikov, Iván Fernández-Val, A. Belloni 

Publication date: 23 October 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Abstract: Quantile regression (QR) is a principal regression method for analyzing the impact of covariates on outcomes. The impact is described by the conditional quantile function and its functionals. In this paper we develop the nonparametric QR-series framework, covering many regressors as a special case, for performing inference on the entire conditional quantile function and its linear functionals. In this framework, we approximate the entire conditional quantile function by a linear combination of series terms with quantile-specific coefficients and estimate the function-valued coefficients from the data. We develop large sample theory for the QR-series coefficient process, namely we obtain uniform strong approximations to the QR-series coefficient process by conditionally pivotal and Gaussian processes. Based on these strong approximations, or couplings, we develop four resampling methods (pivotal, gradient bootstrap, Gaussian, and weighted bootstrap) that can be used for inference on the entire QR-series coefficient function. We apply these results to obtain estimation and inference methods for linear functionals of the conditional quantile function, such as the conditional quantile function itself, its partial derivatives, average partial derivatives, and conditional average partial derivatives. Specifically, we obtain uniform rates of convergence and show how to use the four resampling methods mentioned above for inference on the functionals. All of the above results are for function-valued parameters, holding uniformly in both the quantile index and the covariate value, and covering the pointwise case as a by-product. We demonstrate the practical utility of these results with an example, where we estimate the price elasticity function and test the Slutsky condition of the individual demand for gasoline, as indexed by the individual unobserved propensity for gasoline consumption.

Full work available at URL: https://arxiv.org/abs/1105.6154

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• scientific article; zbMATH DE number 850146

zbMATH Keywords

bootstrapquantile regressionstrong approximationcouplingquantile processseriesuniform inference

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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Cited In (34)

• Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data
• Quantile processes for semi and nonparametric regression
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Uses Software

• R
• quantreg

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