A Corrected Plug-in Method for the Quantile Confidence Interval of a Transformed Regression

A Corrected Plug-in Method for the Quantile Confidence Interval of a Transformed Regression

In this paper we propose an analytically corrected plug-in method for constructing confidence intervals of the conditional quantiles of a response variable with data transformation. The method can be applied to (i) a general conditional regression quantile, (ii) a general monotonic transformation, a...

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書目詳細資料
Main Authors:	YANG, Zhenlin, TSE, Yiu Kuen
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2002
主題:	Analytical calibration Box-Cox transformation Heteroscedasticity Plug-in quantile limits Regression quantile Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/697 https://ink.library.smu.edu.sg/context/soe_research/article/1696/viewcontent/Yang_Tse.pdf
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