Semiparametric quantile regression estimation in dynamic models with partially varying coefficients

DOI10.1016/J.JECONOM.2011.09.025zbMATH Open1441.62623OpenAlexW2111388513MaRDI QIDQ738166FDOQ738166

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

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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 (62)

• Semiparametric quantile estimation for varying coefficient partially linear measurement errors models
• Quantile regression and variable selection for partially linear single-index models with missing censoring indicators
• Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates
• GEE analysis for longitudinal single-index quantile regression
• Statistical inference for a single-index varying coefficient model with measurement errors in all covariates
• Smooth-threshold estimating equations for varying coefficient partially nonlinear models based on orthogonality-projection method
• Identification and estimation in quantile varying-coefficient models with unknown link function
• Quantile regression for single-index-coefficient regression models
• Robust estimation and variable selection for semiparametric partially linear varying coefficient model based on modal regression
• Statistical inference for a varying-coefficient partially nonlinear model with measurement errors
• Estimation and inference for varying coefficient partially nonlinear models
• Local rank estimation and related test for varying-coefficient partially linear models
• Principal single-index varying-coefficient models for dimension reduction in quantile regression
• Efficient estimation in the partially linear quantile regression model for longitudinal data
• Smoothed empirical likelihood for quantile regression models with response data missing at random
• Empirical likelihood in varying-coefficient quantile regression with missing observations
• Nonparametric estimation and inference on conditional quantile processes
• Quantile regression with varying coefficients
• Composite quantile regression for heteroscedastic partially linear varying-coefficient models with missing censoring indicators
• Non-separable models with high-dimensional data
• Adaptive varying-coefficient linear quantile model: a profiled estimating equations approach
• Quantile regression for partially linear varying-coefficient model with censoring indicators missing at random
• Quantile regression for varying coefficient spatial error models
• Adaptively weighted group Lasso for semiparametric quantile regression models
• Quantile index coefficient model with variable selection
• Estimation for varying coefficient partially nonlinear models with distorted measurement errors
• Model averaging for semiparametric varying coefficient quantile regression models
• Estimation and inference in semiparametric quantile factor models
• Quantile regression for dynamic partially linear varying coefficient time series models
• Local asymptotics for nonparametric quantile regression with regression splines
• Semiparametric estimation of varying trade elasticities in gravity
• Efficient model selection in semivarying coefficient models
• Spurious functional-coefficient regression models and robust inference with marginal integration
• A principal varying-coefficient model for quantile regression: joint variable selection and dimension reduction
• Time-varying quantile single-index model for multivariate responses
• Econometric modeling of risk measures: a selective review of the recent literature
• Sieve instrumental variable quantile regression estimation of functional coefficient models
• A quantile correlated random coefficients panel data model
• A semiparametric quantile panel data model with an application to estimating the growth effect of FDI
• Functional-coefficient cointegration models in the presence of deterministic trends
• The \(k\)th power expectile regression
• Kumaraswamy regression model with Aranda-Ordaz link function
• High-dimensional quantile varying-coefficient models with dimension reduction
• Robust and efficient variable selection for semiparametric partially linear varying coefficient model based on modal regression
• Optimal smoothing in nonparametric conditional quantile derivative function estimation
• Robust check loss-based inference of semiparametric models and its application in environmental data
• Statistical inference of locally stationary functional coefficient models
• Bayesian empirical likelihood of quantile regression with missing observations
• Semiparametric quantile regression with random censoring
• Weighted composite quantile regression for partially linear varying coefficient models
• Semiparametric estimation and testing of smooth coefficient spatial autoregressive models
• Empirical likelihood for quantile regression models with response data missing at random
• Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data
• Jackknife model averaging for quantile single-index coefficient model
• Automatic variable selection for semiparametric spatial autoregressive model
• Nonparametric and Semiparametric Quantile Regression via a New MM Algorithm
• Neural Networks for Partially Linear Quantile Regression
• The \(k\)th power expectile estimation and testing
• Model-averaging-based semiparametric modeling for conditional quantile prediction
• The distribution of rolling regression estimators
• LOCAL PARTITIONED QUANTILE REGRESSION
• Semiparametric Spatial Autoregressive Models With Endogenous Regressors: With an Application to Crime Data

Uses Software

• quantreg

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