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

• 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
• Institution: Singapore Management University

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...