Efficient estimation in dynamic conditional quantile models (Q736520)

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scholarly article

Efficient estimation in dynamic conditional quantile models (English)

Journal of Econometrics

publication date

4 August 2016

zbMATH Keywords

semiparametric efficiency

time series models

dependence

conditional quantiles

MaRDI profile type

MaRDI publication profile

full work available at URL

https://doi.org/10.1016/j.jeconom.2010.01.001

Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions

Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity

Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure

On the central limit theorem for \(U\)-statistics under absolute regularity

Information and asymptotic efficiency in parametric-nonparametric models

On adaptive estimation

Uniform Consistency of Kernel Estimators of a Regression Function Under Generalized Conditions

Efficient Semiparametric Estimation of Expectations

Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression

An Alternative Estimator for the Censored Quantile Regression Model

REGRESSION QUANTILES FOR TIME SERIES

MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

Asymptotic efficiency in semi-parametric models with censoring

Asymptotic efficiency in estimation with conditional moment restrictions

Three-Step Censored Quantile Regression and Extramarital Affairs

Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1

Efficient estimation of panel data models with sequential moment restrictions

Methods for Estimating a Conditional Distribution Function

Large Sample Properties of Generalized Method of Moments Estimators

Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions

Investigating Smooth Multiple Regression by the Method of Average Derivatives

An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models

Two-stage rank estimation of quantile index models

Empirical Likelihood-Based Inference in Conditional Moment Restriction Models

Regression Quantiles

Robust Tests for Heteroscedasticity Based on Regression Quantiles

Inference on the Quantile Regression Process

Quasi-maximum likelihood estimation for conditional quantiles

SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES

Nonparametric Selection of Regressors: The Nonnested Case

Efficient Instrumental Variables Estimation of Nonlinear Models

Semiparametric efficiency bounds

Efficient Semiparametric Estimation via Moment Restrictions

Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators

Conditional empirical likelihood estimation and inference for quantile regression models

Asymptotic behavior of regression quantiles in non-stationary, dependent cases

Least absolute deviations estimation for the censored regression model

Censored regression quantiles

Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form

NONPARAMETRIC ESTIMATORS FOR TIME SERIES

Root-N-Consistent Semiparametric Regression

Optimal rates of convergence for nonparametric estimators

Optimal global rates of convergence for nonparametric regression

Nonparametric function estimation involving time series

ASYMPTOTICALLY EFFICIENT MEDIAN REGRESSION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM

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