Jackknife model averaging for quantile regressions

DOI10.1016/j.jeconom.2014.11.005zbMath1337.62080OpenAlexW2114283942MaRDI QIDQ2354857

Xun Lu, Liangjun Su

Publication date: 27 July 2015

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

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1594

zbMATH Keywords

model selectionquantile regressionhigh dimensionalitymisspecificationmodel averagingfinal prediction error

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05)

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