Optimal smoothing in nonparametric conditional quantile derivative function estimation

DOI10.1016/J.JECONOM.2015.03.014MaRDI QIDQ2516320zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 13 August 2015

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2015.03.014

zbMATH Keywords

gradient estimationlease squares cross validationlocal polynomial smoothingquantile regression

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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Cites work

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• Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression
• Consistent nonparametric regression. Discussion
• Cross-validation in nonparametric regression with outliers
• Gradient-based smoothing parameter selection for nonparametric regression estimation
• scientific article; zbMATH DE number 739534 (Why is no real title available?)
• scientific article; zbMATH DE number 2104212 (Why is no real title available?)
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• Nonparametric estimates of regression quantiles and their local Bahadur representation
• Nonparametric estimation of regression functions with both categorical and continuous data
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• On average derivative quantile regression
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• Quantile cointegrating regression
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• Regression Quantiles
• REGRESSION QUANTILES FOR TIME SERIES
• Semiparametric quantile regression estimation in dynamic models with partially varying coefficients

Cited in

(6)

• Computation and application of robust data-driven bandwidth selection for gradient function estimation
• Gradient-based smoothing parameter selection for nonparametric regression estimation
• Nonparametric conditional quantile estimation: a locally weighted quantile kernel approach
• A critical review of univariate non-parametric estimation of first derivatives
• Local weighted composite quantile estimation and smoothing parameter selection for nonparametric derivative function
• Tuning parameter selection for nonparametric derivative estimation in random design

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Uses Software

• CAViaR

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