Estimation and inference about tail features with tail censored data
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DOI: 10.1016/j.jeconom.2021.01.013
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- Haowen Bao & Zongwu Cai & Yuying Sun & Shouyang Wang, 2023. "Penalized Model Averaging for High Dimensional Quantile Regressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202302, University of Kansas, Department of Economics, revised Jan 2023.
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Keywords
Extreme value theory; Power law; Extreme quantile; Tail index;All these keywords.
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