UNIFORM BIAS STUDY AND BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATORS OF THE CONDITIONAL QUANTILE FUNCTION

By E. Guerre, Camille Sabbah. Econometric Theory, 2011

84 citations recorded by the source corpus.

This paper investigates the bias and the weak Bahadur representation of a local polynomial estimator of the conditional quantile function and its derivatives. The bias and Bahadur remainder term are studied uniformly with respect to the quantile level, the covariates, and the smoothing parameter. The order of the local polynomial estimator can be higher than the differentiability order of the conditional quantile function. Applications of the results deal with global optimal consistency rates of the local polynomial quantile estimator, performance of random bandwidths, and estimation of the conditional quantile density function. The latter allows us to obtain a simple estimator of the conditional quantile function of the private values in a first-price sealed bids auction under the independent private values paradigm and risk neutrality.

Subfields: Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/dde055fb7db9f18e6cd524e72258bcbe9a80bc6c

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In Management Science and Operations Research

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Citations in the corpus

Conditional quantile processes based on series or many regressors (2011, background): “Other important work includes Stute [78], Chaudhuri [18], Chaudhuri, Doksum and Samarov [20], Härdle, Ritov, and Song [43], Horderlein and Mammen [46], Cattaneo, Crump, and Jansson [14], Kong, Linton, and Xia [57], Qu and Yoon [73], and Guerre and Sabbah [40], among others, but these papers focused ”
TESTING FOR A GENERAL CLASS OF FUNCTIONAL INEQUALITIES (2013, methodology): “1 of Guerre and Sabbah (2012). To see this difference closely, Guerre and Sabbah (2012) on page 118 used the following type of inequality: with fixed numbers x and y,”
Smoothing Quantile Regressions (2019, methodology): “nect standard SEE and QR estimations. Finally, our paper also relates with the literature on qdf estimation. Parzen (1979) is the rst to notice the important role that the quantile density plays. See Guerre and Sabbah (2012) for a recent application in the econometrics of auctions, as well as Roth a”
Nonparametric estimation and inference on conditional quantile processes (2015, background): “Guerre and Sabbah (2012) is an ambitious work that aimed to establish uniformity in both and x.”