Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function

Arbeitspapier

This paper investigates the bias and the 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 that 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 to obtain a simple estimator of the conditional quantile function of the private values in a first price sealed bids auctions under the independent private values paradigm and risk neutrality.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 648

Classification and Topics

• Classification: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
• Subject: Bahadur representation ; conditional quantile function ; local polynomial estimation ; econometrics of auctions ; Schätztheorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Guerre, Emmanuel ; Sabbah, Camille
• Event: Veröffentlichung
• (who): Queen Mary University of London, Department of Economics
• (where): London
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/55187
• Last update: 10.03.2025, 11:45 AM CET