An MCMC approach to classical estimation.

DOI10.1016/S0304-4076(03)00100-3zbMath1043.62022OpenAlexW3121290475MaRDI QIDQ1398964

Han Hong, Victor Chernozhukov

Publication date: 7 August 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00100-3

zbMATH Keywords

BayesCensored quantile regressionGMMLaplaceMarkov Chain Monte CarloEmpirical likelihoodValue-at-riskInstrumental quantile regressionInstrumental regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Nonparametric estimation (62G05) Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• CAViaR

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