The second-order asymptotic properties of asymmetric least squares estimation

DOI10.1007/s13571-019-00189-8zbMath1437.62260OpenAlexW2913556002MaRDI QIDQ2297951

Yanyan Li

Publication date: 20 February 2020

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://economics.ucr.edu/repec/ucr/wpaper/201910.pdf

zbMATH Keywords

Monte Carlodelta functionsecond-order biasasymmetric least squaresexpectile

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items (1)

P. C. Mahalanobis in the context of current econometrics research

Cites Work

• Unnamed Item
• Asymmetric Least Squares Estimation and Testing
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• The second-order bias and mean squared error of estimators in time-series models
• The second-order bias and mean squared error of nonlinear estimators
• On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function
• Regression Quantiles
• Asymmetric least squares regression estimation: A nonparametric approach^∗

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