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The choice of a smoothing parameter or bandwidth is crucial when applying non- parametric regression estimators. In nonparametric mean regression various meth- ods for bandwidth selection exists. But in nonparametric quantile regression band- width choice is still an unsolved problem. In this...
Persistent link: https://www.econbiz.de/10010324080
This paper is concerned with the nonparametric estimation of regression quantiles where the response variable is randomly censored. Using results on the strong uniform convergence of U-processes, we derive a global Bahadur representation for the weighted local polynomial estimators, which is...
Persistent link: https://www.econbiz.de/10010288315
In this paper we develop procedures for performing inference in regression models about how potential policy interventions affect the entire marginal distribution of an outcome of interest. These policy interventions consist of either changes in the distribution of covariates related to the...
Persistent link: https://www.econbiz.de/10010288406
Quantile regression (QR) is a principal regression method for analyzing the impact of covariates on outcomes. The impact is described by the conditional quantile function and its functionals. In this paper we develop the nonparametric QR series framework, covering many regressors as a special...
Persistent link: https://www.econbiz.de/10009153247
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We develop inference procedures for policy analysis based on regression methods. We consider policy interventions that correspond to either changes in the distribution of covariates, or changes in the conditional distribution of the outcome given covariates, or both. Under either of these policy...
Persistent link: https://www.econbiz.de/10009492354
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This paper proposes new ℓ1-penalized quantile regression estimators for panel data, which explicitly allows for individual heterogeneity associated with covariates. We conduct Monte Carlo simulations to assess the small sample performance of the new estimators and provide comparisons of new...
Persistent link: https://www.econbiz.de/10010238040