Subsampling inference for nonparametric extremal conditional quantiles

Daisuke Kurisu and Taisuke Otsu

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper proposes a subsampling inference method for extreme conditional quantiles based on a self-normalized version of a local estimator for conditional quantiles, such as the local linear quantile regression estimator. The proposed method circumvents difficulty of estimating nuisance parameters in the limiting distribution of the local estimator. A simulation study and empirical example illustrate usefulness of our subsampling inference to investigate extremal phenomena.

Keywords: quantile regression; subsampling; extreme value theory (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2023-11-06
New Economics Papers: this item is included in nep-ecm
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Published in Econometric Theory, 6, November, 2023. ISSN: 0266-4666

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:120365

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