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Identification and estimation in quantile varying-coefficient models with unknown link function

Author

Listed:
  • Lili Yue

    (Beijing University of Technology)

  • Gaorong Li

    (Beijing University of Technology)

  • Heng Lian

    (City University of Hong Kong)

Abstract

In this paper, we consider the estimation problem of quantile varying-coefficient models when the link function is unspecified, which significantly expands the existing works on varying-coefficient models with unspecified link function focusing only on mean regression. We provide new identification conditions which are weaker than existing ones. Under these identification conditions, we use polynomial splines to estimate both the varying coefficients and the link functions and establish the convergence rate of the estimator. Our simulation studies and a real data application illustrate the finite sample performance of the estimators.

Suggested Citation

  • Lili Yue & Gaorong Li & Heng Lian, 2019. "Identification and estimation in quantile varying-coefficient models with unknown link function," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(4), pages 1251-1275, December.
    • Handle: RePEc:spr:testjl:v:28:y:2019:i:4:d:10.1007_s11749-019-00638-6
    DOI: 10.1007/s11749-019-00638-6
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    References listed on IDEAS

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