Global Bahadur representation for nonparametric censored regression quantiles and its applications

Efang Kong, Oliver Linton and Yingcun Xia
Additional contact information
Efang Kong: Institute for Fiscal Studies
Yingcun Xia: Institute for Fiscal Studies

No CWP33/11, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

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 sufficiently accurate for many further theoretical analyses including inference. We consider two applications in detail: estimation of the average derivative, and estimation of the component functions in additive quantile regression models.

Date: 2011-11-03
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://cemmap.ifs.org.uk/wps/cwp3311.pdf (application/pdf)

Related works:
Journal Article: GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:33/11

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
mailbox@ifs.org.uk

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman (emma_h@ifs.org.uk).