Fractional order statistic approximation for nonparametric conditional quantile inference

DOI10.1016/J.JECONOM.2016.09.015zbMATH Open1403.62045arXiv1609.09035OpenAlexW2186797127MaRDI QIDQ503574FDOQ503574

Authors: M. Goldman, David Kaplan 

Publication date: 13 January 2017

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

Abstract: Using and extending fractional order statistic theory, we characterize the $O(n^{-1})$ coverage probability error of the previously proposed confidence intervals for population quantiles using $L$-statistics as endpoints in Hutson (1999). We derive an analytic expression for the $n^{-1}$ term, which may be used to calibrate the nominal coverage level to get $$ coverage error. Asymptotic power is shown to be optimal. Using kernel smoothing, we propose a related method for nonparametric inference on conditional quantiles. This new method compares favorably with asymptotic normality and bootstrap methods in theory and in simulations. Code is available from the second author's website for both unconditional and conditional methods, simulations, and empirical examples.

Full work available at URL: https://arxiv.org/abs/1609.09035

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zbMATH Keywords

kernel smoothinghigh-order accuracyDirichletinference-optimal bandwidth

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30)

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Cited In (6)

• Comparing distributions by multiple testing across quantiles or CDF values
• Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates
• Comment on “What Do Interpolated Nonparametric Confidence Intervals for Population Quantiles Guarantee?”, Frey and Zhang (2017)
• Distribution‐free Approximate Methods for Constructing Confidence Intervals for Quantiles
• Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion
• Better nonparametric confidence intervals via robust bias correction for quantile regression

Uses Software

• quantreg
• SemiPar

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