Nonparametric Prewhitening Estimators for Conditional Quantiles
We define a nonparametric prewhitening method for estimating conditional quantiles based on local linear quantile regression. We characterize the bias, variance and asymptotic normality of the proposed estimator. Under weak conditions our estimator can achieve bias reduction and have the same varian...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2008
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/436 https://ink.library.smu.edu.sg/context/soe_research/article/1435/viewcontent/A18n317.pdf |
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| Institution: | Singapore Management University |
| Language: | English |