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Frontiers of Economics in China

ISSN 1673-3444

ISSN 1673-3568(Online)

CN 11-5744/F

Postal Subscription Code 80-978

Front. Econ. China    2014, Vol. 9 Issue (2) : 165-173    https://doi.org/10.3868/s060-003-014-0009-3
research-article
A Note on Covariance Matrix Estimation in Quantile Regressions
Hongtao Guo1,Zhijie Xiao2()
1. Bertolon School of Business, Salem State University, Salem, MA 01970, USA
2. Department of Economics, Boston College, Chestnut Hill, MA 02467, USA
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Abstract

This note discusses some issues related to bandwidth selection based on moment expansions of the mean squared error (MSE) of the regression quantile estimator. We use higher order expansions to provide a way to distinguish among asymptotically equivalent nonparametric estimators. We derive approximations to the (standardized) MSE of the covariance matrix estimation. This facilitates a comparison of different estimators at the second order level, where differences do occur and depend on the bandwidth choice. A method of bandwidth selection is defined by minimizing the second order effect in the mean squared error.

Keywords bandwidth selection      expansion      quantile regression     
Issue Date: 04 July 2014
 Cite this article:   
Hongtao Guo,Zhijie Xiao. A Note on Covariance Matrix Estimation in Quantile Regressions[J]. Front. Econ. China, 2014, 9(2): 165-173.
 URL:  
https://academic.hep.com.cn/fec/EN/10.3868/s060-003-014-0009-3
https://academic.hep.com.cn/fec/EN/Y2014/V9/I2/165
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