Nonparametric Weighted Average Quantile Derivative

43 Pages Posted: 22 May 2018 Last revised: 3 Dec 2019

See all articles by Ying-Ying Lee

Ying-Ying Lee

University of California, Irvine - Department of Economics

Date Written: May 7, 2018

Abstract

The weighted Average Quantile Derivative (AQD) is the expected value of the partial derivative of the conditional quantile function (CQF) weighted by a function of the covariates. We consider two weighting functions: a known function chosen by researchers and the density function of the covariates that is parallel to the average mean derivative in Powell, Stock, and Stoker (1989). The AQD summarizes the marginal response of the covariates on the CQF and defines a nonparametric quantile regression coefficient. In semiparametric single-index and partial linear models, the AQD identifies the coefficients up to scale. In nonparametric nonseparable structural models, the AQD conveys an average structural effect under certain independence assumptions. Including a stochastic trimming function, the proposed two-step estimator is root-n-consistent for the AQD defined on the entire support of the covariates. To facilitate our tractable asymptotic analysis, a key preliminary result is a new Bahadur-type linear representation of the generalized inverse kernel-based CQF estimator uniformly over the covariates in an expanding compact set and over the quantile levels. The weak convergence to Gaussian processes applies to the differentiable non-linear functionals of the quantile processes.

Keywords: average derivative, conditional quantile function, nonparametric kernel estimation, stochastic trimming, Bahadur representation

JEL Classification: C13, C14, C21

Suggested Citation

Lee, Ying-Ying, Nonparametric Weighted Average Quantile Derivative (May 7, 2018). Available at SSRN: https://ssrn.com/abstract=3174854 or http://dx.doi.org/10.2139/ssrn.3174854

Ying-Ying Lee (Contact Author)

University of California, Irvine - Department of Economics ( email )

3151 Social Science Plaza
Irvine, CA 92697-5100
United States

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