Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions

Qi Li, Juan Lin and Jeffrey Racine

Department of Economics Working Papers from McMaster University

Abstract: We propose a data-driven least squares cross-validation method to optimally select smoothing parameters for the nonparametric estimation of conditional cumulative distribution functions and conditional quantile functions. We allow for general multivariate covariates that can be continuous, categorical or a mix of either. We provide asymptotic analysis, examine finite-sample properties via Monte Carlo simulation, and consider an application involving testing for first order stochastic dominance of children's health conditional on parental education and income.

Pages: 37 pages
Date: 2012-10
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:mcm:deptwp:2012-10

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