Confidence corridors for multivariate generalized quantile regression

Shih-kang Chao, Katharina Proksch, Holger Dette and Wolfgang Härdle

No 2014-028, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable nonparametric estimator and the true function of interest which follow after a series of approximation steps including a Bahadur representation, a new strong approximation theorem and exponential tail inequalities for Gaussian random fields. As a byproduct we also obtain confidence corridors for the regression function in the classical mean regression. In order to deal with the problem of slowly decreasing error in coverage probability of the asymptotic confidence corridors, which results in meager coverage for small sample sizes, a simple bootstrap procedure is designed based on the leading term of the Bahadur representation. The finite sample properties of both procedures are investigated by means of a simulation study and it is demonstrated that the bootstrap procedure considerably outperforms the asymptotic bands in terms of coverage accuracy. Finally, the bootstrap confidence corridors are used to study the efficacy of the National Supported Work Demonstration, which is a randomized employment enhancement program launched in the 1970s. This article has supplementary materials online.

Keywords: Bootstrap; expectile regression; Goodness-of-fit tests; quantile treatment effect; smoothing and nonparametric regression (search for similar items in EconPapers)
JEL-codes: C12 C14 C2 (search for similar items in EconPapers)
Date: 2014
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Journal Article: Confidence Corridors for Multivariate Generalized Quantile Regression (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2014-028

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