Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
DOI10.1016/j.jeconom.2011.09.025zbMath1441.62623OpenAlexW2111388513MaRDI QIDQ738166
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
efficiencyquantile regressionnonlinear time seriessemiparametricpartially linearpartially varying coefficients
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)
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