Inference for Optimal Split Point in Conditional Quantiles

Fany88@uw.edu (), Ruixuan Liu and Dongming Zhu
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Fany88@uw.edu: Department of Economics, University of Washington, Seattle, WA 98195, USA
Ruixuan Liu: Department of Economics, Emory University, Atlanta, GA 30322, USA
Dongming Zhu: School of Economics & Key Laboratory of Mathematical Economics, Shanghai University of Finance and Economics, Shanghai 200433, China

Frontiers of Economics in China-Selected Publications from Chinese Universities, 2016, vol. 11, issue 1, 40-59

Abstract: In this paper we show the occurrence of cubic-root asymptotics in misspecified conditional quantile models where the approximating functions are restricted to be binary decision trees. Inference procedure for the optimal split point in the decision tree is conducted by inverting a t-test or a deviation measure test, both involving Chernoff type limiting distributions. In order to avoid estimating the nuisance parameters in the complicated limiting distribution, subsampling is proved to deliver the correct confidence interval/set.

Keywords: cubic-root asymptotics; Chernof distribution; misspecified Quantile regression; optimal split point (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2016
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