Abstract
The classic hierarchical linear model formulation provides a considerable flexibility for modelling the random effects structure and a powerful tool for analyzing nested data that arise in various areas such as biology, economics and education. However, it assumes the within-group errors to be independently and identically distributed (i.i.d.) and models at all levels to be linear. Most importantly, traditional hierarchical models (just like other ordinary mean regression methods) cannot characterize the entire conditional distribution of a dependent variable given a set of covariates and fail to yield robust estimators. In this article, we relax the aforementioned and normality assumptions, and develop a so-called Hierarchical Semiparametric Quantile Regression Models in which the within-group errors could be heteroscedastic and models at some levels are allowed to be nonparametric. We present the ideas with a 2-level model. The level-1 model is specified as a nonparametric model whereas level-2 model is set as a parametric model. Under the proposed semiparametric setting the vector of partial derivatives of the nonparametric function in level-1 becomes the response variable vector in level 2. The proposed method allows us to model the fixed effects in the innermost level (i.e., level 2) as a function of the covariates instead of a constant effect. We outline some mild regularity conditions required for convergence and asymptotic normality for our estimators. We illustrate our methodology with a real hierarchical data set from a laboratory study and some simulation studies.
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Research partially supported by the National Natural Science Foundation of China (NSFC) under grant (No. 10871201), the Key Project of Chinese Ministry of Education (No. 108120), National Philosophy and Social Science Foundation Grant (No. 07BTJ002), 2006 New Century Excellent Talents Program (NCET), HKBU261007 and The Chinese University of Hong Kong Faculty of Science Direct Grant 2060333
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Tian, M.Z., Tang, M.L. & Chan, P.S. Semiparametric quantile modelling of hierarchical data. Acta. Math. Sin.-English Ser. 25, 597–616 (2009). https://doi.org/10.1007/s10114-008-7220-2
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DOI: https://doi.org/10.1007/s10114-008-7220-2