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SUBSAMPLING INFERENCE FOR NONPARAMETRIC EXTREMAL CONDITIONAL QUANTILES

Published online by Cambridge University Press:  06 November 2023

Daisuke Kurisu  and
Taisuke Otsu
Daisuke Kurisu
Affiliation:
The University of Tokyo
Taisuke Otsu*
Affiliation:
London School of Economics
*
Address correspondence to Taisuke Otsu, Department of Economics, London School of Economics, Houghton Street, London WC2A 2AE, UK; e-mail: t.otsu@lse.ac.uk
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Abstract

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This paper proposes a subsampling inference method for extreme conditional quantiles based on a self-normalized version of a local estimator for conditional quantiles, such as the local linear quantile regression estimator. The proposed method circumvents difficulty of estimating nuisance parameters in the limiting distribution of the local estimator. A simulation study and empirical example illustrate usefulness of our subsampling inference to investigate extremal phenomena.

Type
ARTICLES
Information
Econometric Theory , First View , pp. 1 - 15
Creative Commons
Creative Common License - CCCreative Common License - BYCreative Common License - NCCreative Common License - ND
This is an Open Access article, distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives licence (https://creativecommons.org/licenses/by-nc-nd/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is unaltered and is properly cited. The written permission of Cambridge University Press must be obtained for commercial re-use or in order to create a derivative work.
Copyright
© The Author(s), 2023. Published by Cambridge University Press

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