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Citations for "Asymptotics for Least Absolute Deviation Regression Estimators"

by Pollard, David

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  1. Zernov, Serguei & Zinde-Walsh, Victoria & Galbraith, John W., 2009. "Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 497-508, March.
  2. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2012. "Quantile regression for long memory testing: A case of realized volatility," Working Papers w201207, Banco de Portugal, Economics and Research Department.
  3. Juan Carlos Escanciano & Carlos Velasco, 2008. "Specification Tests of Parametric Dynamic Conditional Quantiles," Caepr Working Papers 2008-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  4. Huh, J. & Park, B. U., 2002. "Likelihood-Based Local Polynomial Fitting for Single-Index Models," Journal of Multivariate Analysis, Elsevier, vol. 80(2), pages 302-321, February.
  5. Jurecková, Jana & Picek, Jan & Saleh, A.K.Md. Ehsanes, 2010. "Rank tests and regression rank score tests in measurement error models," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3108-3120, December.
  6. Wolff Rodney & Yao Qiwei & Tong Howell, 2004. "Statistical Tests for Lyapunov Exponents of Deterministic Systems," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-19, May.
  7. Phillips, Peter C.B., 1995. "Robust Nonstationary Regression," Econometric Theory, Cambridge University Press, vol. 11(05), pages 912-951, October.
  8. Johannes Tang Kristensen, 2012. "Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?," CREATES Research Papers 2012-28, School of Economics and Management, University of Aarhus.
  9. Bang, Sungwan & Jhun, Myoungshic, 2012. "Simultaneous estimation and factor selection in quantile regression via adaptive sup-norm regularization," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 813-826.
  10. Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi, 2001. "Testing and comparing Value-at-Risk measures," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 325-342, July.
  11. Kato, Kengo, 2009. "Asymptotics for argmin processes: Convexity arguments," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1816-1829, September.
  12. Gabriela Ciuperca, 2011. "Estimating nonlinear regression with and without change-points by the LAD method," Annals of the Institute of Statistical Mathematics, Springer, vol. 63(4), pages 717-743, August.
  13. Abadir, Karim M., 1995. "Unbiased estimation as a solution to testing for random walks," Economics Letters, Elsevier, vol. 47(3-4), pages 263-268, March.
  14. Wolfgang Karl Härdle & Ya’acov Ritov & Song Song, 2010. "Partial Linear Quantile Regression and Bootstrap Confidence Bands," SFB 649 Discussion Papers SFB649DP2010-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  15. Feng, Long & Zou, Changliang & Wang, Zhaojun, 2012. "Rank-based inference for the single-index model," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 535-541.
  16. Sun, Y., 2003. "A Consistent Nonparametric Equality Test of Conditional Quantile Functions," Working Papers 2003-10, University of Guelph, Department of Economics and Finance.
  17. Jinfeng Xu & Zhiliang Ying, 2010. "Simultaneous estimation and variable selection in median regression using Lasso-type penalty," Annals of the Institute of Statistical Mathematics, Springer, vol. 62(3), pages 487-514, June.
  18. Han, Chirok & Cho, Jin Seo & Phillips, Peter C. B., 2011. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 282-294.
  19. Park, Cheolwoo & Huh, Jib, 2013. "Statistical inference and visualization in scale-space using local likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 336-348.
  20. Arcones, Miguel A., 1998. "Weak convergence of convex stochastic processes," Statistics & Probability Letters, Elsevier, vol. 37(2), pages 171-182, February.
  21. Tae-Hwan Kim, & Christophe Muller, 2012. "Bias Transmission and Variance Reduction in Two-Stage Quantile Regression," AMSE Working Papers 1221, Aix-Marseille School of Economics, Marseille, France.
  22. Zhijie Xiao, 2009. "Quantile Cointegrating Regression," Boston College Working Papers in Economics 708, Boston College Department of Economics.
  23. Galvao Jr., Antonio F., 2009. "Unit root quantile autoregression testing using covariates," Journal of Econometrics, Elsevier, vol. 152(2), pages 165-178, October.
  24. Zhou, Weihua & Wang, Jin, 2011. "On the weighted multivariate Wilcoxon rank regression estimate," Statistics & Probability Letters, Elsevier, vol. 81(6), pages 704-713, June.
  25. Jiang, Liewen & Bondell, Howard D. & Wang, Huixia Judy, 2014. "Interquantile shrinkage and variable selection in quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 208-219.
  26. Moshe Buchinsky & Jinyong Hahn, 1998. "An Alternative Estimator for the Censored Quantile Regression Model," Econometrica, Econometric Society, vol. 66(3), pages 653-672, May.
  27. Ichimura, Hidehiko & Lee, Sokbae, 2010. "Characterization of the asymptotic distribution of semiparametric M-estimators," Journal of Econometrics, Elsevier, vol. 159(2), pages 252-266, December.
  28. White, Halbert & Kim, Tae-Hwan, 2002. "Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression," University of California at San Diego, Economics Working Paper Series qt1s38s0dn, Department of Economics, UC San Diego.
  29. Komunjer, Ivana & Vuong, Quang, 2010. "Efficient estimation in dynamic conditional quantile models," Journal of Econometrics, Elsevier, vol. 157(2), pages 272-285, August.
  30. Mukherjee, Kanchan, 2000. "Linearization Of Randomly Weighted Empiricals Under Long Range Dependence With Applications To Nonlinear Regression Quantiles," Econometric Theory, Cambridge University Press, vol. 16(03), pages 301-323, June.
  31. Gordon Kemp, 2007. "On the Consistency of Approximate Maximizing Estimator Sequences in the Case of Quasiconcave Functions," Economics Discussion Papers 641, University of Essex, Department of Economics.
  32. Ngai Chan & Rongmao Zhang, 2009. "M-estimation in nonparametric regression under strong dependence and infinite variance," Annals of the Institute of Statistical Mathematics, Springer, vol. 61(2), pages 391-411, June.
  33. Hua Liang, 2009. "Generalized partially linear mixed-effects models incorporating mismeasured covariates," Annals of the Institute of Statistical Mathematics, Springer, vol. 61(1), pages 27-46, March.
  34. Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
  35. Fitzenberger, Bernd, 1998. "The moving blocks bootstrap and robust inference for linear least squares and quantile regressions," Journal of Econometrics, Elsevier, vol. 82(2), pages 235-287, February.
  36. Honda, Toshio, 2007. "Nonparametric Estimation of Conditional Medians for Linear and Related Processes," Discussion Papers 2005-04, Graduate School of Economics, Hitotsubashi University.
  37. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
  38. Yiguo Sun, 2005. "Semiparametric Efficient Estimation of Partially Linear Quantile Regression Models," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 105-127, May.
  39. Zhang, Wenyang & Peng, Heng, 2010. "Simultaneous confidence band and hypothesis test in generalised varying-coefficient models," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1656-1680, August.
  40. Hong, Han & Preston, Bruce, 2012. "Bayesian averaging, prediction and nonnested model selection," Journal of Econometrics, Elsevier, vol. 167(2), pages 358-369.
  41. Gabriela Ciuperca, 2011. "Penalized least absolute deviations estimation for nonlinear model with change-points," Statistical Papers, Springer, vol. 52(2), pages 371-390, May.
  42. Clifford Lam & Jianqing Fan, 2008. "Profile-kernel likelihood inference with diverging number of parameters," LSE Research Online Documents on Economics 31548, London School of Economics and Political Science, LSE Library.
  43. Xiao, Zhijie, 2012. "Robust inference in nonstationary time series models," Journal of Econometrics, Elsevier, vol. 169(2), pages 211-223.
  44. Oberhofer, Walter & Haupt, Harry, 2005. "The asymptotic distribution of the unconditional quantile estimator under dependence," Statistics & Probability Letters, Elsevier, vol. 73(3), pages 243-250, July.
  45. Dasgupta, Madhuchhanda & Mishra, SK, 2004. "Least absolute deviation estimation of linear econometric models: A literature review," MPRA Paper 1781, University Library of Munich, Germany.
  46. Serguei Zernov & Victoria Zindle-Walsh & John Galbraith, 2006. "Asymptotics For Estimation Of Truncated Infinite-Dimensional Quantile Regressions," Departmental Working Papers 2006-16, McGill University, Department of Economics.
  47. Shen, Gang, 2009. "Asymptotics of a Theil-type estimate in multiple linear regression," Statistics & Probability Letters, Elsevier, vol. 79(8), pages 1053-1064, April.
  48. Sun, Y., 2003. "Square Root N - Consistent Semiparametric Estimation of Partially Linear Quantile Regression Models," Working Papers 2003-11, University of Guelph, Department of Economics and Finance.
  49. Shen, Gang, 2008. "Asymptotics of Oja Median Estimate," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2137-2141, October.
  50. Jushan, Bai, 1995. "Estimation of multiple-regime regressions with least absolutes deviation," MPRA Paper 32916, University Library of Munich, Germany, revised Feb 1998.
  51. Huh, Jib, 2010. "Detection of a change point based on local-likelihood," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1681-1700, August.
  52. Liang Peng & Qiwei Yao, 2004. "Nonparametric regression under dependent errors with infinite variance," LSE Research Online Documents on Economics 22874, London School of Economics and Political Science, LSE Library.
  53. Bantli, Faouzi El & Hallin, Marc, 1999. "L1-estimation in linear models with heterogeneous white noise," Statistics & Probability Letters, Elsevier, vol. 45(4), pages 305-315, December.
  54. Lamarche, Carlos, 2010. "Robust penalized quantile regression estimation for panel data," Journal of Econometrics, Elsevier, vol. 157(2), pages 396-408, August.
  55. Mittelhammer, Ron C. & Judge, George, 2011. "A family of empirical likelihood functions and estimators for the binary response model," Journal of Econometrics, Elsevier, vol. 164(2), pages 207-217, October.
  56. Moshe Buchinsky & Jinyong Hahn, 1995. "Quantile Regression Model with Unknown Censoring Point," Cowles Foundation Discussion Papers 1096, Cowles Foundation for Research in Economics, Yale University.
  57. Delgado, Miguel A. & Velasco, Carlos, 2005. "Sign tests for long-memory time series," Journal of Econometrics, Elsevier, vol. 128(2), pages 215-251, October.
  58. Francq, Christian & Zakoian, Jean-Michel, 2012. "Risk-parameter estimation in volatility models," MPRA Paper 41713, University Library of Munich, Germany.
  59. Wang, Jiang-Feng & Ma, Wei-Min & Zhang, Hui-Zeng & Wen, Li-Min, 2013. "Asymptotic normality for a local composite quantile regression estimator of regression function with truncated data," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1571-1579.
  60. Holger Dette & Marc Hallin & Tobias Kley & Stanislav Volgushev, 2011. "Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis," Working Papers ECARES ECARES 2011-038, ULB -- Universite Libre de Bruxelles.
  61. Moshe Buchinsky & Jinyong Hahn, . "Quantile Regression Model with Unknown Censoring," Working Papers _004, University of California at Berkeley, Econometrics Laboratory Software Archive.
  62. Oberhofer, Walter & Haupt, Harry, 2003. "Nonlinear quantile regression under dependence and heterogeneity," University of Regensburg Working Papers in Business, Economics and Management Information Systems 388, University of Regensburg, Department of Economics.
  63. Huh, Jib, 2012. "Nonparametric estimation of the regression function having a change point in generalized linear models," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 843-851.
  64. Oliver Linton & Yoon-Jae Whang, 2003. "A Quantilogram Approach to Evaluating Directional Predictability," STICERD - Econometrics Paper Series /2003/463, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  65. Oliver Linton & Yoon-Jae Whang, 2003. "A quantilogram approach to evaluating directional predictability," LSE Research Online Documents on Economics 2112, London School of Economics and Political Science, LSE Library.
  66. Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.