Binary quantile regression with local polynomial smoothing

doi:10.1016/j.jeconom.2015.06.019

CORC > 上海财经大学 > 上海财经大学

	Binary quantile regression with local polynomial smoothing
	Chen, Songnian 1; Zhang, Hanghui 2,3
刊名	JOURNAL OF ECONOMETRICS
	2015-11
卷号	189 期号:1 页码:24-40
关键词	Binary quantile regression Smoothed maximum score estimator Local polynomial smoothing
ISSN号	0304-4076
DOI	10.1016/j.jeconom.2015.06.019
英文摘要	Manski (1975, 1985) proposed the maximum score estimator for the binary choice model under a weak conditional median restriction that converges at the rate of n(-1/3) and the standardized version has a nonstandard distribution. By imposing additional smoothness conditions, Horowitz (1992) proposed a smoothed maximum score estimator that often has large finite sample biases and is quite sensitive to the choice of smoothing parameter. In this paper we propose a novel framework that leads to a local polynomial smoothing based estimator. Our estimator possesses finite sample and asymptotic properties typically associated with the local polynomial regression. In addition, our local polynomial regression-based estimator can be extended to the panel data setting. Simulation results suggest that our estimators may offer significant improvement over the smoothed maximum score estimators. (C) 2015 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000362383600002
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1444]
专题	上海财经大学
通讯作者	Chen, Songnian
作者单位	1.Hong Kong Univ Sci & Technol, Dept Econ, Kowloon, Hong Kong, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Econ, Shanghai 200433, Peoples R China; 3.Shanghai Univ Finance & Econ, Minist Educ, Key Lab Math Econ, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Chen, Songnian,Zhang, Hanghui. Binary quantile regression with local polynomial smoothing[J]. JOURNAL OF ECONOMETRICS,2015,189(1):24-40.
APA	Chen, Songnian,&Zhang, Hanghui.(2015).Binary quantile regression with local polynomial smoothing.JOURNAL OF ECONOMETRICS,189(1),24-40.
MLA	Chen, Songnian,et al."Binary quantile regression with local polynomial smoothing".JOURNAL OF ECONOMETRICS 189.1(2015):24-40.