Semiparametric quantile regression estimation in dynamic models with partially varying coefficients

DOI10.1016/j.jeconom.2011.09.025zbMath1441.62623OpenAlexW2111388513MaRDI QIDQ738166

Zhijie Xiao, Zong-Wu 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

efficiencyquantile regressionnonlinear time seriessemiparametricpartially linearpartially varying coefficients

Mathematics Subject Classification ID

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

Related Items (54)

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

Uses Software

• quantreg

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Local polynomial fitting in semivarying coefficient model
• Two-step likelihood estimation procedure for varying-coefficient models
• Nonparametric estimates of regression quantiles and their local Bahadur representation
• Profile likelihood inferences on semiparametric varying-coefficient partially linear models
• Quantile regression with varying coefficients
• Quantile splines with several covariates
• Mixing: Properties and examples
• On average derivative quantile regression
• Quantile regression in varying coefficient models.
• Efficient estimation of a semiparametric partially linear varying coefficient model
• Multivariate locally weighted least squares regression
• Bivariate tensor-product \(B\)-splines in a partly linear model
• Nonlinear Time Series
• Some recent developments on nonparametric econometrics
• Root-N-Consistent Semiparametric Regression
• Local Linear Quantile Regression
• Regression Quantiles
• Bivariate Quantile Smoothing Splines
• Quantile smoothing splines
• EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL
• On Additive Conditional Quantiles With High-Dimensional Covariates
• NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Local Linear Additive Quantile Regression
• Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series
• REGRESSION QUANTILES FOR TIME SERIES
• Some comments on specification tests in nonparametric absolutely regular processes
• Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
• Nonparametric Estimation of an Additive Quantile Regression Model
• Quantile Autoregression
• Nonparametric estimation of a conditional quantile for \(\alpha\)-mixing processes
• Average regression surface for dependent data
• Some asymptotic results on bivariate quantile splines

This page was built for publication: Semiparametric quantile regression estimation in dynamic models with partially varying coefficients