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Efficient Regressions Via Optimally Combining Quantile Information


  • Zhao, Zhibiao
  • Xiao, Zhijie


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  • Zhao, Zhibiao & Xiao, Zhijie, 2014. "Efficient Regressions Via Optimally Combining Quantile Information," Econometric Theory, Cambridge University Press, vol. 30(06), pages 1272-1314, December.
  • Handle: RePEc:cup:etheor:v:30:y:2014:i:06:p:1272-1314_00

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    Cited by:

    1. Wang, Chuan-Sheng & Zhao, Zhibiao, 2016. "Conditional Value-at-Risk: Semiparametric estimation and inference," Journal of Econometrics, Elsevier, vol. 195(1), pages 86-103.
    2. repec:spr:stpapr:v:59:y:2018:i:4:d:10.1007_s00362-016-0847-7 is not listed on IDEAS
    3. repec:eee:econom:v:207:y:2018:i:1:p:162-174 is not listed on IDEAS
    4. repec:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9718-0 is not listed on IDEAS
    5. Seonjin Kim, 2015. "Hypothesis Testing For Arch Models: A Multiple Quantile Regressions Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 26-38, January.
    6. Hubner, Stefan, 2016. "Topics in nonparametric identification and estimation," Other publications TiSEM 08fce56b-3193-46e0-871b-0, Tilburg University, School of Economics and Management.
    7. Yanlin Tang & Xinyuan Song & Zhongyi Zhu, 2015. "Variable selection via composite quantile regression with dependent errors," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 69(1), pages 1-20, February.
    8. Cho, Hyunkeun & Kim, Seonjin & Kim, Mi-Ok, 2017. "Multiple quantile regression analysis of longitudinal data: Heteroscedasticity and efficient estimation," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 334-343.
    9. Kangning Wang & Lu Lin, 2017. "Robust and efficient direction identification for groupwise additive multiple-index models and its applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(1), pages 22-45, March.
    10. Sun, Jing & Sun, Qihang, 2015. "An improved and efficient estimation method for varying-coefficient model with missing covariates," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 296-303.
    11. He, Qianchuan & Kong, Linglong & Wang, Yanhua & Wang, Sijian & Chan, Timothy A. & Holland, Eric, 2016. "Regularized quantile regression under heterogeneous sparsity with application to quantitative genetic traits," Computational Statistics & Data Analysis, Elsevier, vol. 95(C), pages 222-239.

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