EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL

This paper is concerned with estimating a conditional quantile function that is assumed to be partially linear+ The paper develops a simple estimator of the parametric component of the conditional quantile+ The semiparametric efficiency bound for the parametric component is derived, and two types of efficient estimators are considered+ Asymptotic properties of the proposed estimators are established under regularity conditions+ Some Monte Carlo experiments indicate that the proposed estimators perform well in small samples+