Inference for extremal conditional quantile models, with an application to market and birthweight risks
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Publication:3012104
DOI10.1093/RESTUD/RDQ020zbMATH Open1216.62077arXiv0912.5013OpenAlexW3104967305MaRDI QIDQ3012104FDOQ3012104
Authors: Victor Chernozhukov, Iván Fernández-Val 
Publication date: 30 June 2011
Published in: Review of Economic Studies (Search for Journal in Brave)
Abstract: Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile regression applied to the tails, is of interest in many economic and financial applications, such as conditional value-at-risk, production efficiency, and adjustment bands in (S,s) models. In this paper we provide feasible inference tools for extremal conditional quantile models that rely upon extreme value approximations to the distribution of self-normalized quantile regression statistics. The methods are simple to implement and can be of independent interest even in the non-regression case. We illustrate the results with two empirical examples analyzing extreme fluctuations of a stock return and extremely low percentiles of live infants' birthweights in the range between 250 and 1500 grams.
Full work available at URL: https://arxiv.org/abs/0912.5013
Recommendations
Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- Estimation and Inference of Extremal Quantile Treatment Effects for Heavy-Tailed Distributions
- Bayesian binary quantile regression for the analysis of bachelor-to-master transition
- Estimation for Extreme Conditional Quantiles of Functional Quantile Regression
- Estimation and inference about tail features with tail censored data
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- Linear quantile regression models for longitudinal experiments: an overview
- Predictive quantile regression with persistent covariates: IVX-QR approach
- On the measurement and treatment of extremes in time series
- Frontier estimation in nonparametric location-scale models
- Extremal quantile regressions for selection models and the black-white wage gap
- Analysis of global and local optima of regularized quantile regression in high dimensions: a subgradient approach
- Panel quantile regression for extreme risk
- Extremal quantiles and stock price crashes
- Inference for extremal regression with dependent heavy-tailed data
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