Kaplan, David M. - In: Journal of Econometrics 185 (2015) 1, pp. 20-32
To estimate a sample quantile’s variance, the quantile spacing method involves smoothing parameter m. When m,n→∞, the corresponding Studentized test statistic is asymptotically N(0,1). Holding m fixed instead, the asymptotic distribution contains the Edgeworth expansion term capturing the...