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Quantile regression in varying coefficient models

โœ Scribed by Toshio Honda

Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
257 KB
Volume
121
Category
Article
ISSN
0378-3758

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โœฆ Synopsis

This paper deals with the estimation of conditional quantiles in varying coe cient models by estimating the coe cients. Varying coe cient models are among popular models that have been proposed to alleviate the curse of dimensionality. Previous works on varying coe cient models deal with conditional means directly or indirectly. However, quantiles themselves can be deรฟned without moment conditions and plotting several conditional quantiles would give us more understanding of the data than plotting just the conditional mean. Particularly, we estimate the conditional median by estimating varying coe cients by local L1 regression.

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