Test of tails based on extreme regression quantiles
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References listed on IDEAS
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- He, Xuming, et al, 1990. "Tail Behavior of Regression Estimators and Their Breakdown Points," Econometrica, Econometric Society, vol. 58(5), pages 1195-1214, September.
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- Zuo, Yijun, 2003. "Finite sample tail behavior of multivariate location estimators," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 91-105, April.
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Keywords(Extreme) regression quantiles Pareto-type tails Domain of attraction Cramer-type large deviations Consistency of the test;
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