This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 346
Type: Contributed
Date/Time: Tuesday, August 3, 2010 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract - #308290
Title: Nonparametric Test of Conditional Quantile Independence with an Application to Banks' Systemic Risk
Author(s): Milan Nedeljkovic*+
Companies: University of Warwick
Address: Department of Economics, Coventry, CV4 7AL, United Kingdom
Keywords: Conditional quantiles ; Conditional Independence ; Nonparametric tests ; Stochastic processes ; Subsampling ; U-statistics
Abstract:

This paper proposes a fully nonparametric procedure for testing conditional quantile independence. We extend the existing literature in 3 directions. First, we tackle the curse of dimensionality in testing by replacing a nonparametric alternative with a class of single-index semi-parametric alternatives, still rich enough to detect any local nonparametric alternatives. In particular, the rate of convergence of the test statistic depends only on the dimension of the model under the null. Second, we use the weighted Nadaraya-Watson estimator of the conditional quantile and prove its weak uniform convergence for ß-mixing processes. Third, we provide a set of sufficient conditions under which the quantile estimation error does not affect the limiting distribution of the test statistic and verify that subsampling yields a valid first-order approximation of the asymptotic distribution.


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