Hypothesis testing on high dimensional quantile regression

DOI10.1016/J.JECONOM.2023.105525MaRDI QIDQ6152590zbMATH OpenOpenAlexFDO

Authors Zhao Chen, Vivian Xinyi Cheng, Xu Liu

Publication date 13 February 2024

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2023.105525

zbMATH Keywords

heavy-tailed distributionhigh dimensional testnuisance parametersignificance of variables

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A high-dimensional nonparametric multivariate test for mean vector
• A two-sample test for high-dimensional data with applications to gene-set testing
• Asymptotic Statistics
• Common risk factors in the returns on stocks and bonds
• Conditional mean and quantile dependence testing in high dimension
• Detecting Differential Expressions in GeneChip Microarray Studies
• Estimation of Extreme Conditional Quantiles Through Power Transformation
• Extremal quantile regression
• Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics
• Goodness of Fit and Related Inference Processes for Quantile Regression
• High-dimensional statistics. A non-asymptotic viewpoint
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 889593 (Why is no real title available?)
• scientific article; zbMATH DE number 3258670 (Why is no real title available?)
• Hypothesis testing on linear structures of high-dimensional covariance matrix
• Misspecification Testing in a Class of Conditional Distributional Models
• On the predictive risk in misspecified quantile regression
• Quantile Autoregression
• Quantile regression in partially linear varying coefficient models
• Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
• Quantile regression.
• Regression Quantiles
• Regression rank scores and regression quantiles
• Statistical foundations of data science
• Test for high-dimensional regression coefficients using refitted cross-validation variance estimation
• Tests for high dimensional generalized linear models
• Tests for high-dimensional regression coefficients with factorial designs
• Tests of linear hypotheses based on regression rank scores
• Unit Root Quantile Autoregression Inference
• Variance estimation using refitted cross-validation in ultrahigh dimensional regression

Cited in

(3)

• A review of recent advances in high-dimensional quantile regression
• Title not available (Why is no real title available?)
• Title not available (Why is no real title available?)

This page was built for publication: Hypothesis testing on high dimensional quantile regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6152590)