EFFICIENT SEMIPARAMETRIC SEEMINGLY UNRELATED QUANTILE REGRESSION ESTIMATION

DOI10.1017/S0266466609090549zbMath1284.62419OpenAlexW2094248606MaRDI QIDQ5411521

Sung Jae Jun, Joris Pinkse

Publication date: 23 April 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609090549

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Nonparametric estimation (62G05)

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Cites Work

• Adapting for heteroscedasticity in linear models
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• Asymptotic efficiency in estimation with conditional moment restrictions
• Weak convergence and empirical processes. With applications to statistics
• Efficient Instrumental Variables Estimation of Nonlinear Models
• Simulation and the Asymptotics of Optimization Estimators
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Regression Quantiles
• Stochastic Limit Theory
• IV.—On Least Squares and Linear Combination of Observations
• ASYMPTOTICALLY EFFICIENT MEDIAN REGRESSION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
• SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS

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