Smoothed quantile regression processes for binary response models

DOI10.1017/S0266466619000124MaRDI QIDQ5221311zbMATH OpenOpenAlexWikidataFDO

Authors Stanislav Volgushev

Publication date 25 March 2020

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1302.5644

zbMATH Keywords

smoothes quantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05)

Abstract: In this paper, we consider binary response models with linear quantile restrictions. Considerably generalizing previous research on this topic, our analysis focuses on an infinite collection of quantile estimators. We derive a uniform linearisation for the properly standardized empirical quantile process and discover some surprising differences with the setting of continuously observed responses. Moreover, we show that considering quantile processes provides an effective way of estimating binary choice probabilities without restrictive assumptions on the form of the link function, heteroskedasticity or the need for high dimensional non-parametric smoothing necessary for approaches available so far. A uniform linear representation and results on asymptotic normality are provided, and the connection to rearrangements is discussed.

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Cited in

(3)

• Binary quantile regression with local polynomial smoothing
• Nonparametric inference on smoothed quantile regression process
• Smoothed quantile regression for censored residual life

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