Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov, Iván Fernández-Val
arXiv 31 May 2011 · Statistics — Methodology · publishedJournal of Econometrics (2019) · 85 citations (OpenAlex)
arXiv:1105.6154 · PDF · DOI · OpenAlex · Extracted main text
Quantile regression (QR) is a principal regression method for analyzing the impact of covariates on outcomes. The impact is described by the conditional quantile function and its functionals. In this paper we develop the nonparametric QR-series framework, covering many regressors as a special case, for performing inference on the entire conditional quantile function and its linear functionals. In this framework, we approximate the entire conditional quantile function by a linear combination of series terms with quantile-specific coefficients and estimate the function-valued coefficients from the data. We develop large sample theory for the QR-series coefficient process, namely we obtain uniform strong approximations to the QR-series coefficient process by conditionally pivotal and Gaussian processes. Based on these strong approximations, or couplings, we develop four resampling methods (pivotal, gradient bootstrap, Gaussian, and weighted bootstrap) that can be used for inference on the entire QR-series coefficient function. We apply these results to obtain estimation and inference methods for linear functionals of the conditional quantile function, such as the conditional quantile function itself, its partial derivatives, average partial derivatives, and conditional average partial derivatives. Specifically, we obtain uniform rates of convergence and show how to use the four resampling methods mentioned above for inference on the functionals. All of the above results are for function-valued parameters, holding uniformly in both the quantile index and the covariate value, and covering the pointwise case as a by-product. We demonstrate the practical utility of these results with an example, where we estimate the price elasticity function and test the Slutsky condition of the individual demand for gasoline, as indexed by the individual unobserved propensity for gasoline consumption.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chen, X (2006) Large sample sieve estimation of semi-nonparametric models | 0.909 | 8 | 4 | 75% |
| 2 | Newey, W (1997) Convergence rates and asymptotic normality for series estimators | 0.909 | 8 | 4 | 75% |
| 3 | Belloni, A., Chernozhukov, V., Chetverikov, D., and Kato, K (2015) On the asymptotic theory for least squares series: pointwise and uniform results self | 0.894 | 7 | 4 | 71% |
| 4 | Koenker, R. and Basset, G. (1978). Regression quantiles Econometrica 46 33–50 | 0.843 | 3 | 3 | 100% |
| 5 | Lipsitz, M., Belloni, A., Chernozhukov, V., and I. Fernandez-Val (2016) Quantreg.nonpar: Nonparametric Series Quantile Regression in R self | 0.843 | 3 | 3 | 100% |
| 6 | Huang, J (2003) Local asymptotics for polynomial spline regression | 0.737 | 4 | 3 | 50% |
| 7 | He, X. and Shao, Q.-M (2000) On parameters of increasing dimentions | 0.737 | 3 | 2 | 100% |
| 8 | Yatchew, A. and No, J (2001) Household gasoline demand in Canada | 0.693 | 5 | 1 | 100% |
| 9 | Chernozhukov, V., Chetverikov, D., and Kato, K (2013) Anti-concentration and honest adaptive confidence bands self | 0.644 | 3 | 2 | 67% |
| 10 | Chen, X. and Christensen, T (2013) Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation | 0.644 | 2 | 2 | 100% |
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