Please use this identifier to cite or link to this item: https://doi.org/10.1017/S0266466611000788
Title: A single-index quantile regression model and its estimation
Authors: Kong, E.
Xia, Y. 
Issue Date: Aug-2012
Citation: Kong, E., Xia, Y. (2012-08). A single-index quantile regression model and its estimation. Econometric Theory 28 (4) : 730-768. ScholarBank@NUS Repository. https://doi.org/10.1017/S0266466611000788
Abstract: Models with single-index structures are among the many existing popular semiparametric approaches for either the conditional mean or the conditional variance. This paper focuses on a single-index model for the conditional quantile. We propose an adaptive estimation procedure and an iterative algorithm which, under mild regularity conditions, is proved to converge with probability 1. The resulted estimator of the single-index parametric vector is root-n consistent, asymptotically normal, and based on simulation study, is more efficient than the average derivative method in Chaudhuri, Doksum, and Samarov (1997, Annals of Statistics 19, 760-777). The estimator of the link function converges at the usual rate for nonparametric estimation of a univariate function. As an empirical study, we apply the single-index quantile regression model to Boston housing data. By considering different levels of quantile, we explore how the covariates, of either social or environmental nature, could have different effects on individuals targeting the low, the median, and the high end of the housing market. © Copyright Cambridge University Press 2012.
Source Title: Econometric Theory
URI: http://scholarbank.nus.edu.sg/handle/10635/104976
ISSN: 02664666
DOI: 10.1017/S0266466611000788
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