Additive models for quantile regression: model selection and confidence bandaids
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References listed on IDEAS
- Delgado, Miguel A. & Stute, Winfried, 2008. "Distribution-free specification tests of conditional models," Journal of Econometrics, Elsevier, vol. 143(1), pages 37-55, March.
- Haywood, John & Khmaladze, Estate, 2008. "On distribution-free goodness-of-fit testing of exponentiality," Journal of Econometrics, Elsevier, vol. 143(1), pages 5-18, March.
- Roger Koenker & Zhijie Xiao, 2002. "Inference on the Quantile Regression Process," Econometrica, Econometric Society, vol. 70(4), pages 1583-1612, July.
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- Alexandre Belloni & Victor Chernozhukov, 2009.
"L1-Penalized Quantile Regression in High-Dimensional Sparse Models,"
0904.2931, arXiv.org, revised Nov 2011.
- Alexandre Belloni & Victor Chernozhukov, 2009. "L1-Penalized quantile regression in high-dimensional sparse models," CeMMAP working papers CWP10/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Qu, Zhongjun & Yoon, Jungmo, 2015.
"Nonparametric estimation and inference on conditional quantile processes,"
Journal of Econometrics,
Elsevier, vol. 185(1), pages 1-19.
- Zhongjun Qu & Jungmo Yoon, 2011. "Nonparametric Estimation and Inference on Conditional Quantile Processes," Boston University - Department of Economics - Working Papers Series WP2011-059, Boston University - Department of Economics.
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