A new model selection procedure based on dynamic quantile regression (Q2953289)

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A new model selection procedure based on dynamic quantile regression
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    A new model selection procedure based on dynamic quantile regression (English)
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    4 January 2017
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    dynamic quantile regression
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    variable selection
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    error distribution
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    DQR-oracle
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    asymptotic relative efficiency
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    heteroskedasticity
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