EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL
نویسندگان
چکیده
منابع مشابه
Efficient Semiparametric Estimation of a Partially Linear Quantile Regression Model
This paper is concerned with estimating a conditional quantile function that is assumed to be partially linear+ The paper develops a simple estimator of the parametric component of the conditional quantile+ The semiparametric efficiency bound for the parametric component is derived, and two types of efficient estimators are considered+ Asymptotic properties of the proposed estimators are establ...
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We propose an efficient semiparametric estimator for the coefficients of a multivariate linear regression model — with a conditional quantile restriction for each equation — in which the conditional distributions of errors given regressors are unknown. The procedure can be used to estimate multiple conditional quantiles of the same regression relationship. The proposed estimator is asymptotical...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2003
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466603191013