Nonparametric Prewhitening Estimators for Conditional Quantiles

• Main Authors: SU, Liangjun, ULLAH, Aman
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: Local linear quantile regression; nonparametric quantile regression; prediction interval; prewhitening estimator; weighted Nadaraya-Watson estimator; Econometrics
• 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
• Institution: Singapore Management University

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...