Fan, Liu, JoE, 2016
Linearity adopted in Koenker and Bassett (1978) has been relaxed to accomodate possibly nonlinear effects of the covariates on the conditional quantile of the dependent variable in nonparametric and parametric quantile regression models.
Various alternative approaches have been proposed in the current literature to improve on the finite sample performance of Wald-type inference.
Compared with parametric quantile regression models, inference in nonparametric and semiparametric quantile regression models is still in its infancy.
This paper aims at bridging this gap.
In contrast to the standard Wald type CI, ours circumvents the need to estimate the conditional density function of the dependent variable given the covariate.
In the same spirit, ...
It shares the elegance and simplicity of ...
**To rectify this issue, various methods of **monotonization have been proposed in the literature including...
