Estimation of general semi-parametric quantile regression |
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Authors: | Yan Fan Lixing Zhu |
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Affiliation: | 1. Renmin University of China, Beijing, China;2. Hong Kong Baptist University, Hong Kong, China |
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Abstract: | Quantile regression introduced by Koenker and Bassett (1978) produces a comprehensive picture of a response variable on predictors. In this paper, we propose a general semi-parametric model of which part of predictors are presented with a single-index, to model the relationship of conditional quantiles of the response on predictors. Special cases are single-index models, partially linear single-index models and varying coefficient single-index models. We propose the qOPG, a quantile regression version of outer-product gradient estimation method (OPG, Xia et al., 2002) to estimate the single-index. Large-sample properties, simulation results and a real-data analysis are provided to examine the performance of the qOPG. |
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Keywords: | Quantile regression Single-index model Outer-product gradient estimation (OPG) qOPG Eigenvector |
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