Nonparametric Prewhitening Estimators for Conditional Quantiles

• المؤلفون الرئيسيون: SU, Liangjun, ULLAH, Aman
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2008
• الموضوعات: Local linear quantile regression; nonparametric quantile regression; prediction interval; prewhitening estimator; weighted Nadaraya-Watson estimator; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/436; https://ink.library.smu.edu.sg/context/soe_research/article/1435/viewcontent/A18n317.pdf

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...