Estimating the asymptotic covariance matrix for quantile regression models. A Monte Carlo study

DOI10.1016/0304-4076(94)01652-GzbMath0825.62437MaRDI QIDQ1899235

Moshe Buchinsky

Publication date: 7 December 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Point estimation (62F10) Monte Carlo methods (65C05)

Related Items (41)

Quasi-maximum likelihood estimation for conditional quantiles ⋮ Finite Sample Properties of the QME ⋮ Laplace regression with censored data ⋮ Smoothed quantile regression for panel data ⋮ Conditional empirical likelihood estimation and inference for quantile regression models ⋮ Quantile regression, Box-Cox transformation model and the U.S. wage structure, 1963--1987 ⋮ Quantile regression with clustered data ⋮ Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons ⋮ Quantile regression estimation of partially linear additive models ⋮ Bootstrapping regression models with locally stationary disturbances ⋮ Estimating the variance of the LAD regression coefficients. ⋮ Latent drop-out based transitions in linear quantile hidden Markov models for longitudinal responses with attrition ⋮ Two-step semiparametric estimation of the type-3 Tobit model ⋮ Efficient parameter estimation via Gaussian copulas for quantile regression with longitudinal data ⋮ Stock market's reaction to money supply: a nonparametric analysis ⋮ Single index Fréchet regression ⋮ The reaction of stock market returns to unemployment ⋮ The Lee-Carter quantile mortality model ⋮ Bootstrap estimation of covariance matrices via the percentile method ⋮ Linear quantile regression models for longitudinal experiments: an overview ⋮ Quantile Regression Models with Multivariate Failure Time Data ⋮ Cure Rate Quantile Regression for Censored Data With a Survival Fraction ⋮ NONSTANDARD QUANTILE-REGRESSION INFERENCE ⋮ Unnamed Item ⋮ Quantile regression for longitudinal data with a working correlation model ⋮ ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE ⋮ Weighted quantile regression for censored data with application to export duration data ⋮ Evaluation of a three-step method for choosing the number of bootstrap repetitions ⋮ Linear quantile mixed models ⋮ SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS ⋮ Estimators of regression parameters for truncated and censored data ⋮ Sequential estimation of censored quantile regression models ⋮ A quantile approach to the power transformed location-scale model ⋮ GEL METHODS FOR NONSMOOTH MOMENT INDICATORS ⋮ Quantile regression for longitudinal data based on latent Markov subject-specific parameters ⋮ Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form ⋮ Nonparametric Testing of an Exclusion Restriction in Quantile Regression ⋮ Simple resampling methods for censored regression quantiles ⋮ Sheep in wolf's clothing: using the least squares criterion for quantile estimation ⋮ A quantile regression perspective on external preference mapping ⋮ Quantile regression under random censoring.

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