Efficient Estimation for Models With Nonlinear Heteroscedasticity

DOI10.1080/07350015.2021.1933991MaRDI QIDQ6620970zbMATH OpenFDO

Authors Zhibiao Zhao

Publication date 17 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2021.1933991

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• L-estimatton for linear heteroscedastic models
• A note on L-estimates for linear models
• Adaptive \(L\)-estimation for linear models
• Composite quantile regression and the oracle model selection theory
• Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
• Efficient estimation for time-varying coefficient longitudinal models
• EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
• Focused information criterion and model averaging based on weighted composite quantile regression
• Goodness of Fit and Related Inference Processes for Quantile Regression
• scientific article; zbMATH DE number 3872513 (Why is no real title available?)
• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• L-Estimation for Linear Models
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Linear double autoregression
• New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
• Nonlinear system theory: Another look at dependence
• On adaptive estimation
• On adaptive estimation in stationary ARMA processes
• Optimally combined estimation for tail quantile regression
• Oracle model selection for nonlinear models based on weighted composite quantile regression
• Penalized composite quasi-likelihood for ultrahigh dimensional variable selection
• Preface
• Quantile regression.
• Regression Quantiles
• Regression rank scores and regression quantiles
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• Statistical inference on heteroscedastic models based on regression quantiles

Cited in

(2)

• Non-crossing quantile double-autoregression for the analysis of streaming time series data
• Enhancing quantile estimation via quantile combination under heteroscedasticity

This page was built for publication: Efficient Estimation for Models With Nonlinear Heteroscedasticity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6620970)