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Quantile selection in non-linear GMM quantile models

Author

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  • de Castro, Luciano
  • Galvao, Antonio F.
  • Montes-Rojas, Gabriel

Abstract

This note proposes a non-linear GMM quantile regression model to estimate the quantile as an additional parameter. The limiting distribution is studied. An empirical application to an intertemporal consumption model built on a structural dynamic quantile utility model illustrates the estimator. Using US data, it separately estimates the elasticity of intertemporal substitution and the risk attitude, which is captured by the estimated quantile.

Suggested Citation

  • de Castro, Luciano & Galvao, Antonio F. & Montes-Rojas, Gabriel, 2020. "Quantile selection in non-linear GMM quantile models," Economics Letters, Elsevier, vol. 195(C).
    • Handle: RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302470
    DOI: 10.1016/j.econlet.2020.109402
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    References listed on IDEAS

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    More about this item

    Keywords

    Quantile regression; Instrumental variables; Quantile preferences; Elasticity of intertemporal substitution; Risk attitude;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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