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The order of the local polynomial estimator can be higher than the differentiability order of the conditional quantile function. Applications of the results deal with global optimal consistency rates of the local polynomial quantile estimator, performance of random bandwidths, and estimation of the conditional quantile density function. The latter allows us to obtain a simple estimator of the conditional quantile function of the private values in a first-price sealed bids auction under the independent private values paradigm and risk neutrality.<\/jats:p>","DOI":"10.1017\/s0266466611000132","type":"journal-article","created":{"date-parts":[[2011,8,2]],"date-time":"2011-08-02T10:52:09Z","timestamp":1312282329000},"page":"87-129","source":"Crossref","is-referenced-by-count":59,"title":["UNIFORM BIAS STUDY AND BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATORS OF THE CONDITIONAL QUANTILE FUNCTION"],"prefix":"10.1017","volume":"28","author":[{"given":"Emmanuel","family":"Guerre","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Camille","family":"Sabbah","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2011,8,2]]},"reference":[{"key":"S0266466611000132_ref37","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-5020-3"},{"key":"S0266466611000132_ref35","doi-asserted-by":"publisher","DOI":"10.1017\/CCOL0521252806"},{"key":"S0266466611000132_ref33","volume-title":"Empirical Processes in M-Estimation","author":"van de Geer","year":"1999"},{"key":"S0266466611000132_ref30","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176345969"},{"key":"S0266466611000132_ref14","doi-asserted-by":"crossref","first-page":"1193","DOI":"10.3982\/ECTA7028","article-title":"Nonparametric identification of risk aversion in first-price auctions under exclusion restrictions","volume":"77","author":"Guerre","year":"2009","journal-title":"Econometrica"},{"key":"S0266466611000132_ref3","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00454"},{"key":"S0266466611000132_ref5","doi-asserted-by":"crossref","first-page":"1281","DOI":"10.3982\/ECTA6223","article-title":"Testing models with multiple equilibria by quantile methods","volume":"77","author":"Echenique","year":"2009","journal-title":"Econometrica"},{"key":"S0266466611000132_ref29","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.09.001"},{"key":"S0266466611000132_ref7","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1992.10476255"},{"key":"S0266466611000132_ref21","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511754098"},{"key":"S0266466611000132_ref23","doi-asserted-by":"publisher","DOI":"10.1016\/j.jkss.2008.06.004"},{"key":"S0266466611000132_ref32","first-page":"69","article-title":"Robust reconstruction of functions by the local-approximation method","volume":"22","author":"Tsybakov","year":"1986","journal-title":"Problemy Peredachi Informatsii"},{"key":"S0266466611000132_ref15","doi-asserted-by":"crossref","unstructured":"Haile P.A. , Hong H. , & Shum M. 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