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A SIMPLE NONPARAMETRIC APPROACH FOR ESTIMATION AND INFERENCE OF CONDITIONAL QUANTILE FUNCTIONS

Zheng Fang, Qi Li and Karen Yan

Econometric Theory, 2023, vol. 39, issue 2, 290-320

Abstract: In this paper, we present a new nonparametric method for estimating a conditional quantile function and develop its weak convergence theory. The proposed estimator is computationally easy to implement and automatically ensures quantile monotonicity by construction. For inference, we propose to use a residual bootstrap method. Our Monte Carlo simulations show that this new estimator compares well with the check-function-based estimator in terms of estimation mean squared error. The bootstrap confidence bands yield adequate coverage probabilities. An empirical example uses a dataset of Canadian high school graduate earnings, illustrating the usefulness of the proposed method in applications.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:39:y:2023:i:2:p:290-320_3

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