arXiv 31 Aug 2019 · Econometrics · publishedJournal of Business and Economic Statistics (2021) · 7 citations (OpenAlex)
arXiv:1909.00294 · PDF · DOI · OpenAlex · Extracted main text
We develop a new extreme value theory for repeated cross-sectional and panel data to construct asymptotically valid confidence intervals (CIs) for conditional extremal quantiles from a fixed number $k$ of nearest-neighbor tail observations. As a by-product, we also construct CIs for extremal quantiles of coefficients in linear random coefficient models. For any fixed $k$, the CIs are uniformly valid without parametric assumptions over a set of nonparametric data generating processes associated with various tail indices. Simulation studies show that our CIs exhibit superior small-sample coverage and length properties than alternative nonparametric methods based on asymptotic normality. Applying the proposed method to Natality Vital Statistics, we study factors of extremely low birth weights. We find that signs of major effects are the same as those found in preceding studies based on parametric models, but with different magnitudes.
appendix boundary found by appendix_command · 55% of the source is main text. Read the extracted text to check this.
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 | Chernozhukov and Fernández-Val (2011) Inference for extremal conditional quantile models, with an application to market and birthweight Risks | 1.000 | 6 | 3 | 100% |
| 2 | Abrevaya (2001) The effects of demographics and maternal Behavior on the distribution of birth outcomes | 0.874 | 5 | 2 | 100% |
| 3 | Gardes, Girard, and Lekina (2010) Functional Nonparametric Estimation of Conditional Extreme Quantiles | 0.874 | 5 | 2 | 100% |
| 4 | Koenker and Hallock (2001) Quantile Regression: An introduction | 0.737 | 3 | 2 | 100% |
| 5 | Elliott, Müller, and Watson (2015) Nearly Optimal Tests When a Nuisance Parameter is Present under the Null Hypothesis | 0.644 | 4 | 2 | 50% |
| 6 | Wang and Li (2013) Estimation of Extreme Conditional Quantiles Through Power Transformation | 0.644 | 3 | 2 | 67% |
| 7 | Chernozhukov (2005) Extremal Quantile Autoregression | 0.644 | 2 | 2 | 100% |
| 8 | de Haan and Ferreira (2007) Extreme Value Theory: An Introduction | 0.630 | 12 | 3 | 25% |
| 9 | Berbee (1987) Convergence Rates in the Strong Law for Bounded Mixing Sequences | 0.511 | 2 | 2 | 50% |
| 10 | Ding (2016) On the Conditional Distribution of the Multivariate t Distribution | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 44 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Non-Existent Moments of Earnings Growth | 0.511 | 4 | 2 |
| 2 | Extreme Changes in Changes | 0.405 | 1 | 1 |
| 3 | Extremal Quantiles under Two-Way Clustering | 0.405 | 1 | 1 |