UNIFORM BIAS STUDY AND BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATORS OF THE CONDITIONAL QUANTILE FUNCTION

Emmanuel Guerre and Camille Sabbah ()

Econometric Theory, 2012, vol. 28, issue 1, 87-129

Abstract: This paper investigates the bias and the weak Bahadur representation of a local polynomial estimator of the conditional quantile function and its derivatives. The bias and Bahadur remainder term are studied uniformly with respect to the quantile level, the covariates, and the smoothing parameter. The order of the local polynomial estimator can be higher than the differentiability order of the conditional quantile function. Applications of the results deal with global optimal consistency rates of the local polynomial quantile estimator, performance of random bandwidths, and estimation of the conditional quantile density function. The latter allows us to obtain a simple estimator of the conditional quantile function of the private values in a first-price sealed bids auction under the independent private values paradigm and risk neutrality.

Date: 2012
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