Cheng, Yebin and De Gooijer, Jan and Zerom, Dawit (2009): Efficient Estimation of an Additive Quantile Regression Model.

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Abstract
In this paper two kernelbased nonparametric estimators are proposed for estimating the components of an additive quantile regression model. The first estimator is a computationally convenient approach which can be viewed as a viable alternative to the method of De Gooijer and Zerom (2003). With the aim to reduce variance of the first estimator, a second estimator is defined via sequential fitting of univariate local polynomial quantile smoothing for each additive component with the other additive components replaced by the corresponding estimates from the first estimator. The second estimator achieves oracle efficiency in the sense that each estimated additive component has the same variance as in the case when all other additive components were known. Asymptotic properties are derived for both estimators under dependent processes that are strictly stationary and absolutely regular. We also provide a demonstrative empirical application of additive quantile models to ambulance travel times.
Item Type:  MPRA Paper 

Original Title:  Efficient Estimation of an Additive Quantile Regression Model 
Language:  English 
Keywords:  Additive models; Asymptotic properties; Dependent data; Internalized kernel smoothing; Local polynomial; Oracle efficiency 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics 
Item ID:  14388 
Depositing User:  Dawit Zerom 
Date Deposited:  01 Apr 2009 04:39 
Last Modified:  01 Oct 2019 15:56 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/14388 