Search Results - subject:"Conditional Quantile"

Nonparametric Quantile Regression with Heavy-Tailed and Strongly Dependent Errors

Honda, Toshio - Institute of Economic Research, Hitotsubashi University - 2010

We consider nonparametric estimation of the conditional qth quantile for stationary time series. We deal with stationary time series with strong time dependence and heavy tails under the setting of random design. We estimate the conditional qth quantile by local linear regression and investigate...

Persistent link: https://www.econbiz.de/10008838432

Set identification of panel data models with interactive effects via quantile restrictions

Chen, Liang - In: Economics letters 137 (2015), pp. 36-40

Persistent link: https://www.econbiz.de/10011436203

Symmetrized multivariate k-NN estimators

Fan, Yanqin; Liu, Ruixuan - In: Econometric reviews 34 (2015) 6/10, pp. 828-848

Persistent link: https://www.econbiz.de/10011483390

High-order conditional quantile estimation based on nonparametric models of regression

Martins-Filho, Carlos; Yao, Feng; Torero, Máximo - In: Econometric reviews 34 (2015) 6/10, pp. 907-958

Persistent link: https://www.econbiz.de/10011483401

Statistical inference for conditional quantiles in nonlinear time series models

So, Mike Ka-pui; Chung, Ray S. W. - In: Journal of econometrics 189 (2015) 2, pp. 457-472

Persistent link: https://www.econbiz.de/10011504625

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

Guerre, Emmanuel; Sabbah, Camille - 2009

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 …

Persistent link: https://www.econbiz.de/10010280769

The contribution of human capital variables to changes in the wage distribution function

Ghosh, Pallab Kumar - In: Labour economics : official journal of the European … 28 (2014), pp. 58-69

Persistent link: https://www.econbiz.de/10010481250

The contribution of human capital variables to changes in the wage distribution function

Ghosh, Pallab Kumar - In: Labour Economics 28 (2014) C, pp. 58-69

it relaxes the linearity assumption of the conditional quantile function to estimate the counterfactual wage distribution …

Persistent link: https://www.econbiz.de/10010785259

Quantile sieve estimates for time series

Franke, Jürgen; Stockis, Jean-Pierre; Tadjuidje, Joseph - 2007

We consider the problem of estimating the conditional quantile of a time series at time t given observations of the …

Persistent link: https://www.econbiz.de/10010263674

Backtesting Parametric Value-at-Risk with Estimation Risk

Escanciano, Juan Carlos; Olmo, Jose - Center for Applied Economics and Policy Research … - 2007

One of the implications of the creation of Basel Committee on Banking Supervision was the implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk. Since then, the capital requirements of commercial banks with trading activities are based on VaR estimates. Therefore,...

Persistent link: https://www.econbiz.de/10005547988