Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
نویسندگان
چکیده
منابع مشابه
Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients∗
We study quantile regression estimation for dynamic models with partially varying coefficients so that the values of some coefficients may be functions of informative covariates. Estimation of both parametric and nonparametric functional coefficients are proposed. In particular, we propose a three stage semiparametric procedure. Both consistency and asymptotic normality of the proposed estimato...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2012
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2011.09.025