Wild bootstrap inference for penalized quantile regression for longitudinal data

DOI10.1016/J.JECONOM.2022.11.011arXiv2004.05127OpenAlexW3123400726MaRDI QIDQ6108328

No author found.

Publication date: 29 June 2023

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

Full work available at URL: https://arxiv.org/abs/2004.05127

zbMATH Keywords

quantile regressionpanel databootstrap inferencepenalized estimator

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Bootstrapping quantile correlations with an application for income status across generations

Cites Work

• Unnamed Item
• Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models
• The \(L_1\) penalized LAD estimator for high dimensional linear regression
• Asymptotics for panel quantile regression models with individual effects
• Robust penalized quantile regression estimation for panel data
• Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
• Identifying latent grouped patterns in panel data models with interactive fixed effects
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Asymptotics for Lasso-type estimators.
• About the constants in Talagrand's concentration inequalities for empirical processes.
• Quantile regression for longitudinal data
• Weak convergence and empirical processes. With applications to statistics
• A panel quantile approach to attrition bias in big data: evidence from a randomized experiment
• On the unbiased asymptotic normality of quantile regression with fixed effects
• Panel data quantile regression with grouped fixed effects
• Local Rademacher complexities and oracle inequalities in risk minimization. (2004 IMS Medallion Lecture). (With discussions and rejoinder)
• Quantile processes for semi and nonparametric regression
• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
• Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
• Wild bootstrap for quantile regression
• On the validity of the pairs bootstrap for lasso estimators
• Asymptotic Statistics
• Oracle Estimation of a Change Point in High-Dimensional Quantile Regression
• Wild residual bootstrap inference for penalized quantile regression with heteroscedastic errors
• IV Quantile Regression for Group-Level Treatments, With an Application to the Distributional Effects of Trade
• Identifying Latent Structures in Panel Data
• Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models
• ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS
• Model Selection via Bayesian Information Criterion for Quantile Regression Models
• Bootstrap Standard Error Estimates and Inference
• UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS
• Bootstrap Standard Error Estimates for Linear Regression
• Consistent Estimates Based on Partially Consistent Observations

This page was built for publication: Wild bootstrap inference for penalized quantile regression for longitudinal data