Bias correction for quantile regression estimators

arXiv2011.03073MaRDI QIDQ6505016FDOQ6505016

Authors: Grigory Franguridi, Bulat Gafarov, Kaspar Wüthrich 

Abstract: We study the bias of classical quantile regression and instrumental variable quantile regression estimators. While being asymptotically first-order unbiased, these estimators can have non-negligible second-order biases. We derive a higher-order stochastic expansion of these estimators using empirical process theory. Based on this expansion, we derive an explicit formula for the second-order bias and propose a feasible bias correction procedure that uses finite-difference estimators of the bias components. The proposed bias correction method performs well in simulations. We provide an empirical illustration using Engel's classical data on household expenditure.

This page was built for publication: Bias correction for quantile regression estimators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6505016)