Fractional order statistic approximation for nonparametric conditional quantile inference

A-Tier
Journal: Journal of Econometrics
Year: 2017
Volume: 196
Issue: 2
Pages: 331-346

Authors (2)

Goldman, Matt (not in RePEc) Kaplan, David M. (University of Missouri)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Using and extending fractional order statistic theory, we characterize the O(n−1) coverage probability error of the previously proposed (Hutson, 1999) confidence intervals for population quantiles using L-statistics as endpoints. We derive an analytic expression for the n−1 term, which may be used to calibrate the nominal coverage level to get O(n−3/2[log(n)]3) coverage error. Asymptotic power is shown to be optimal. Using kernel smoothing, we propose a related method for nonparametric inference on conditional quantiles. This new method compares favorably with asymptotic normality and bootstrap methods in theory and in simulations. Code is provided for both unconditional and conditional inference.

Technical Details

RePEc Handle
repec:eee:econom:v:196:y:2017:i:2:p:331-346
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25