Search Results

Author: Li, Degui
Resulting in 1 citation.
1. Chen, Xirong
Li, Degui
Li, Qi
Li, Zheng
Nonparametric Estimation of Conditional Quantile Functions in the Presence of Irrelevant Covariates
Journal of Econometrics published online (22 May 2019): DOI: 10.1016/j.jeconom.2019.04.037.
Also: https://www.sciencedirect.com/science/article/pii/S0304407619301034
Cohort(s): NLSY97
Publisher: Elsevier
Keyword(s): Dating; Modeling, Nonparametric Regression; Wages, Men; Wages, Women

Allowing for the existence of irrelevant covariates, we study the problem of estimating a conditional quantile function nonparametrically with mixed discrete and continuous data. We estimate the conditional quantile regression function using the check-function-based kernel method and suggest a data-driven cross-validation (CV) approach to simultaneously determine the optimal smoothing parameters and remove the irrelevant covariates. When the number of covariates is large, we first use a screening method to remove the irrelevant covariates and then apply the CV criterion to those that survive the screening procedure. Simulations and an empirical application demonstrate the usefulness of the proposed methods.
Bibliography Citation
Chen, Xirong, Degui Li, Qi Li and Zheng Li. "Nonparametric Estimation of Conditional Quantile Functions in the Presence of Irrelevant Covariates." Journal of Econometrics published online (22 May 2019): DOI: 10.1016/j.jeconom.2019.04.037.