Semiparametric quantile regression estimation in dynamic models with partially varying coefficients

DOI10.1016/J.JECONOM.2011.09.025MaRDI QIDQ738166zbMATH OpenOpenAlexFDO

Authors Zhijie Xiao, Zongwu Cai

Publication date 15 August 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2011.09.025

zbMATH Keywords

nonlinear time seriesquantile regressionsemiparametricefficiencypartially linearpartially varying coefficients

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(80)

• Semiparametric quantile estimation for varying coefficient partially linear measurement errors models
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• Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates
• Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data
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• Expectile periodogram
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