Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function

DOI10.1017/S0266466611000132MaRDI QIDQ3224039zbMATH OpenOpenAlexFDO

Authors Emmanuel Guerre, Camille Sabbah

Publication date 29 March 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.5038

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Abstract: This paper investigates the bias and the weak Bahadur representation of a local polynomial estimator of the conditional quantile function and its derivatives. The bias and Bahadur remainder term are studied uniformly with respect to the quantile level, the covariates and the smoothing parameter. The order of the local polynomial estimator can be higher than the differentiability order of the conditional quantile function. Applications of the results deal with global optimal consistency rates of the local polynomial quantile estimator, performance of random bandwidths and estimation of the conditional quantile density function. The latter allows to obtain a simple estimator of the conditional quantile function of the private values in a first price sealed bids auctions under the independent private values paradigm and risk neutrality.

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Cited in

(47)

• Expansion for moments of regression quantiles with applications to nonparametric testing
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