Comment on " Quantile Autoregression " by R . Koenker
نویسندگان
چکیده
My remarks about this paper are organised within four points. The rst of these notes the close connection between the authors random coe¢ cient model and some earlier models that were not formulated in terms of "random coe¢ cients". The second comments on the models identi cation. The third point queries the transition from the authorsbasic model (1) to their quantile version (2). Finally we request a clari cation of the su¢ cient conditions for the theorems justifying quantile-based inference.
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تاریخ انتشار 2006