The second-order bias of quantile estimators

Tae Hwy Lee, Aman Ullah and He Wang

Economics Letters, 2018, vol. 173, issue C, 143-147

Abstract: The finite sample theory using higher-order asymptotics provides better approximations of the bias for a class of estimators. Phillips (1991) demonstrated the higher-order asymptotic expansions for LAD estimators. Rilstone et al. (1996) provided the second-order bias results of conditional mean regression estimators. This paper develops new analytical results on the second-order bias of the conditional quantile regression estimators, which enables an improved bias correction and thus to obtain improved quantile estimation. In particular, we show that the second-order bias is larger towards the tails of the conditional density than near the median, and therefore the benefit of the second-order bias correction is greater when we are interested in the deeper tail quantiles, e.g., for the study of income distribution and financial risk management. The Monte Carlo simulation confirms the theory that the bias is larger at the tail quantiles, and the second-order bias correction improves the behavior of the quantile estimators.

Keywords: Delta function; Quantile regression; Second-order bias (search for similar items in EconPapers)
JEL-codes: C1 C13 C2 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:173:y:2018:i:c:p:143-147

DOI: 10.1016/j.econlet.2018.09.022

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