Composite Quantile Regression for the Single-Index Model

SFB 649 Discussion Paper 2013-010

43 Pages Posted: 5 Jan 2017

See all articles by Yan Fan

Yan Fan

Renmin University of China

Wolfgang K. Härdle

Humboldt University of Berlin - Institute for Statistics and Econometrics; Xiamen University - Wang Yanan Institute for Studies in Economics (WISE); Charles University; Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Weining Wang

Humboldt University of Berlin

Lixing Zhu

Hong Kong Baptist University (HKBU) - Department of Mathematics

Date Written: February 13, 2013

Abstract

Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a projection based single index model specification. For very high dimensional regressors X one faces yet another dimensionality problem and needs to balance precision vs. dimension. Such a balance may be achieved by combining semiparametric ideas with variable selection techniques.

Keywords: Quantile Single-index Regression, Minimum Average Contrast Estimation, Co-VaR estimation, Composite quasi-maximum likelihood estimation, Lasso, Model selection

JEL Classification: C00, C14, C50, C58

Suggested Citation

Fan, Yan and Härdle, Wolfgang K. and Wang, Weining and Zhu, Lixing, Composite Quantile Regression for the Single-Index Model (February 13, 2013). SFB 649 Discussion Paper 2013-010. Available at SSRN: https://ssrn.com/abstract=2892647 or http://dx.doi.org/10.2139/ssrn.2892647

Yan Fan

Renmin University of China

Room B906
Xianjin Building
Beijing, Beijing 100872
China

Wolfgang K. Härdle (Contact Author)

Humboldt University of Berlin - Institute for Statistics and Econometrics ( email )

Unter den Linden 6
Berlin, D-10099
Germany

Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) ( email )

A 307, Economics Building
Xiamen, Fujian 10246
China

Charles University ( email )

Celetná 13
Dept Math Physics
Praha 1, 116 36
Czech Republic

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Unter den Linden 6
Berlin, D-10099
Germany

Weining Wang

Humboldt University of Berlin ( email )

Unter den Linden 6
Berlin, AK Berlin 10099
Germany

Lixing Zhu

Hong Kong Baptist University (HKBU) - Department of Mathematics ( email )

Kowloon Tong
Hong Kong
Hong Kong

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
65
Abstract Views
479
rank
358,614
PlumX Metrics