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Nonparametric Estimation of Conditional Quantile Regression with Mixed Discrete and Continuous Data

Authors: Degui Li; Qi Li; Zheng Li;

Nonparametric Estimation of Conditional Quantile Regression with Mixed Discrete and Continuous Data

Abstract

In this paper, we investigate the nonlinear quantile regression with mixed discrete and continuous regressors. A local linear smoothing technique with the mixed continuous and discrete kernel function is proposed to estimate the conditional quantile regression function. Under some mild conditions, the asymptotic distribution is established for the proposed nonparametric estimators, which can be seen as a generalisation of some existing theory which only handles the case of purely continuous regressors. We further study the choice of the tuning parameters in the local quantile estimation procedure, and suggest using the cross-validation approach to choose the optimal bandwidths. A simulation study is provided to examine the finite sample behavior of the proposed method, which is also compared with the naive local linear quantile estimation without smoothing the discrete regressors and the nonparametric inverse-CDF method proposed by Li, Lin and Racine (2013).

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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