Conditional empirical likelihood estimation and inference for quantile regression models

Research output: Contribution to journalArticle

26 Citations (Scopus)

Abstract

This paper considers two empirical likelihood-based estimation, inference, and specification testing methods for quantile regression models. First, we apply the method of conditional empirical likelihood (CEL) by Kitamura et al. [2004. Empirical likelihood-based inference in conditional moment restriction models. Econometrica 72, 1667-1714] and Zhang and Gijbels [2003. Sieve empirical likelihood and extensions of the generalized least squares. Scandinavian Journal of Statistics 30, 1-24] to quantile regression models. Second, to avoid practical problems of the CEL method induced by the discontinuity in parameters of CEL, we propose a smoothed counterpart of CEL, called smoothed conditional empirical likelihood (SCEL). We derive asymptotic properties of the CEL and SCEL estimators, parameter hypothesis tests, and model specification tests. Important features are (i) the CEL and SCEL estimators are asymptotically efficient and do not require preliminary weight estimation; (ii) by inverting the CEL and SCEL ratio parameter hypothesis tests, asymptotically valid confidence intervals can be obtained without estimating the asymptotic variances of the estimators; and (iii) in contrast to CEL, the SCEL method can be implemented by some standard Newton-type optimization. Simulation results demonstrate that the SCEL method in particular compares favorably with existing alternatives.

Original languageEnglish
Pages (from-to)508-538
Number of pages31
JournalJournal of Econometrics
Volume142
Issue number1
DOIs
Publication statusPublished - 2008 Jan 1
Externally publishedYes

Fingerprint

Quantile regression
Empirical likelihood
Likelihood estimation
Inference
Regression model
Estimator
Hypothesis test
Confidence interval
Simulation
Conditional moment restrictions
Asymptotic properties
Discontinuity
Specification test
Generalized least squares
Asymptotic variance
Model specification
Likelihood ratio
Specification testing
Statistics

Keywords

  • Conditional empirical likelihood
  • Empirical likelihood
  • Quantile regression

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Conditional empirical likelihood estimation and inference for quantile regression models. / Otsu, Taisuke.

In: Journal of Econometrics, Vol. 142, No. 1, 01.01.2008, p. 508-538.

Research output: Contribution to journalArticle

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