Smoothed Empirical Likelihood Methods for Quantile Regression Models

Yoon-Jae Whang

No 1453, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper considers an empirical likelihood method to estimate the parameters of the quantile regression (QR) models and to construct confidence regions that are accurate in finite samples. To achieve the higher-order refinements, we smooth the estimating equations for the empirical likelihood. We show that the smoothed empirical likelihood (SEL) estimator is first-order asymptotically equivalent to the standard QR estimator and establish that confidence regions based on the smoothed empirical likelihood ratio have coverage errors of order n^{-1} and may be Bartlett-corrected to produce regions with an error of order n^{-2}, where n denotes the sample size. We further extend these results to censored quantile regression models. Our results are extensions of the previous results of Chen and Hall (1993) to the regression contexts. Monte Carlo experiments suggest that the smoothed empirical likelihood confidence regions may be more accurate in small samples than the confidence regions that can be constructed from the smoothed bootstrap method recently suggested by Horowitz (1998).

Keywords: Bartlett correction; Bootstrap; Edgeworth expansion; Empirical likelihood; Quantile regression model; Censored quantile regression model (search for similar items in EconPapers)
JEL-codes: C12 C13 C15 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2004-03
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d14/d1453.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS (2006)
Working Paper: Smoothed Empirical Likelihood Methods for Quantile Regression Models (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1453

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().