Backfitting and smooth backfitting in varying coefficient quantile regression

Young K. Lee, Enno Mammen and Byeong U. Park

Econometrics Journal, 2014, vol. 17, issue 2, S20-S38

Abstract: In this paper, we study ordinary backfitting and smooth backfitting as methods of fitting varying coefficient quantile models. We do this in a unified framework that accommodates various types of varying coefficient models. Our framework also covers the additive quantile model as a special case. Under a set of weak conditions, we derive the asymptotic distributions of the backfitting estimators. We also briefly report on the results of a simulation study.

Date: 2014
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