A Corrected Plug-in Method for Quantile Interval Construction through a Transformed Regression

A Corrected Plug-in Method for Quantile Interval Construction through a Transformed Regression

We propose a corrected plug-in method for constructing confidence intervals of the conditional quantiles of an original response variable through a transformed regression with heteroscedastic errors. The interval is easy to compute. Factors affecting the magnitude of the correction are examined anal...

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Bibliographic Details
Main Authors: YANG, Zhenlin, TSE, Yiu Kuen
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Analytical correction
Finite-sample performance
Heteroscedasticity
Living standards in South Africa
Transformation
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/352
https://ink.library.smu.edu.sg/context/soe_research/article/1351/viewcontent/YangTse_JBES2007at.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/352
https://ink.library.smu.edu.sg/context/soe_research/article/1351/viewcontent/YangTse_JBES2007at.pdf

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