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Nonparametric estimation of an additive quantile regression model
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Cited by:
- repec:wyi:journl:002112 is not listed on IDEAS
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús & Pan, Haozi, 2023.
"Estimation of characteristics-based quantile factor models,"
UC3M Working papers. Economics
37095, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo & Haozi Pan, 2023. "Estimation of Characteristics-based Quantile Factor Models," Papers 2304.13206, arXiv.org.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus & Pan, Haozi, 2023. "Estimation of Characteristics-based Quantile Factor Models," CEPR Discussion Papers 18115, C.E.P.R. Discussion Papers.
- Yebin Cheng & Jan G. De Gooijer & Dawit Zerom, 2011.
"Efficient Estimation of an Additive Quantile Regression Model,"
Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 38(1), pages 46-62, March.
- Cheng, Yebin & De Gooijer, Jan & Zerom, Dawit, 2009. "Efficient Estimation of an Additive Quantile Regression Model," MPRA Paper 14388, University Library of Munich, Germany.
- Ichimura, Hidehiko & Todd, Petra E., 2007.
"Implementing Nonparametric and Semiparametric Estimators,"
Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74,
Elsevier.
- Hidehiko Ichimura & Petra E. Todd, 2006. "Implementing Nonparametric and Semiparametric Estimators," CIRJE F-Series CIRJE-F-452, CIRJE, Faculty of Economics, University of Tokyo.
- Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Fernández-Val, Iván, 2019.
"Conditional quantile processes based on series or many regressors,"
Journal of Econometrics, Elsevier, vol. 213(1), pages 4-29.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val, 2011. "Conditional quantile processes based on series or many regressors," CeMMAP working papers CWP19/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Ivan Fernandez-Val, 2016. "Conditional quantile processes based on series or many regressors," CeMMAP working papers CWP46/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Ivan Fernandez-Val, 2016. "Conditional quantile processes based on series or many regressors," CeMMAP working papers 46/16, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Iv'an Fern'andez-Val, 2011. "Conditional Quantile Processes based on Series or Many Regressors," Papers 1105.6154, arXiv.org, revised Aug 2018.
- Charlier, Isabelle & Paindaveine, Davy & Saracco, Jérôme, 2015. "Conditional quantile estimation based on optimal quantization: From theory to practice," Computational Statistics & Data Analysis, Elsevier, vol. 91(C), pages 20-39.
- Cai, Zongwu & Xu, Xiaoping, 2009.
"Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models,"
Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 371-383.
- Cai, Zongwu & Xu, Xiaoping, 2008. "Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1595-1608.
- Xiaoping Xu & Zongwu Cai, 2013. "Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Tadao Hoshino, 2014. "Quantile regression estimation of partially linear additive models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(3), pages 509-536, September.
- Jingwen Tu & Hu Yang & Chaohui Guo & Jing Lv, 2021. "Model averaging marginal regression for high dimensional conditional quantile prediction," Statistical Papers, Springer, vol. 62(6), pages 2661-2689, December.
- Xiaohong Chen & Demian Pouzo, 2012.
"Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals,"
Econometrica, Econometric Society, vol. 80(1), pages 277-321, January.
- Xiaohong Chen & Demian Pouzo, 2008. "Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals," Cowles Foundation Discussion Papers 1650R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2009.
- Xiaohong Chen & Demian Pouzo, 2008. "Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals," Cowles Foundation Discussion Papers 1650RR, Cowles Foundation for Research in Economics, Yale University, revised Jan 2011.
- Sherwood, Ben, 2016. "Variable selection for additive partial linear quantile regression with missing covariates," Journal of Multivariate Analysis, Elsevier, vol. 152(C), pages 206-223.
- Huu Manh Nguyen & Thi Huong Giang Vuong & Thi Huong Nguyen & Yang-Che Wu & Wing-Keung Wong, 2020. "Sustainability of Both Pecking Order and Trade-Off Theories in Chinese Manufacturing Firms," Sustainability, MDPI, vol. 12(9), pages 1-25, May.
- Joel L. Horowitz, 2012. "Nonparametric additive models," CeMMAP working papers CWP20/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Yue, Yu Ryan & Rue, Håvard, 2011. "Bayesian inference for additive mixed quantile regression models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 84-96, January.
- Tadao Hoshino, 2021. "Estimating a Continuous Treatment Model with Spillovers: A Control Function Approach," Papers 2112.15114, arXiv.org, revised Jan 2023.
- Wu, Tracy Z. & Yu, Keming & Yu, Yan, 2010. "Single-index quantile regression," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1607-1621, August.
- Takuma Yoshida & Kanta Naito, 2014. "Asymptotics for penalised splines in generalised additive models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(2), pages 269-289, June.
- Hao Dong & Taisuke Otsu, 2018.
"Nonparametric Estimation of Additive Model with Errors-in-Variables,"
STICERD - Econometrics Paper Series
600, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hao Dong & Taisuke Otsu, 2018. "Nonparametric Estimation of Additive Model With Errors-in-Variables," Departmental Working Papers 1812, Southern Methodist University, Department of Economics.
- Lewbel, Arthur & Lu, Xun & Su, Liangjun, 2015.
"Specification testing for transformation models with an application to generalized accelerated failure-time models,"
Journal of Econometrics, Elsevier, vol. 184(1), pages 81-96.
- Arthur Lewbel & Xun Lu & Liangjun Su, 2012. "Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models," Boston College Working Papers in Economics 817, Boston College Department of Economics, revised 01 May 2013.
- Härdle, Wolfgang Karl & Ritov, Ya’acov & Wang, Weining, 2015. "Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models," Journal of Multivariate Analysis, Elsevier, vol. 134(C), pages 129-145.
- Weihua Zhao & Jianbo Li & Heng Lian, 2018. "Adaptive varying-coefficient linear quantile model: a profiled estimating equations approach," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(3), pages 553-582, June.
- Kong, Efang & Linton, Oliver & Xia, Yingcun, 2010.
"Uniform Bahadur Representation For Local Polynomial Estimates Of M-Regression And Its Application To The Additive Model,"
Econometric Theory, Cambridge University Press, vol. 26(5), pages 1529-1564, October.
- Efang Kong & Oliver Linton & Yingcun Xia, 2009. "Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model," STICERD - Econometrics Paper Series 535, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Kuangnan Fang & Xinyan Fan & Wei Lan & Bingquan Wang, 2019. "Nonparametric additive beta regression for fractional response with application to body fat data," Annals of Operations Research, Springer, vol. 276(1), pages 331-347, May.
- Zongwu Cai & Qi Li, 2013. "Some Recent Develop- ments on Nonparametric Econometrics," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Zhao, Weihua & Lian, Heng, 2017. "Quantile index coefficient model with variable selection," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 40-58.
- Joel L. Horowitz, 2012. "Nonparametric additive models," CeMMAP working papers 20/12, Institute for Fiscal Studies.
- Christoph Breunig, 2016. "Specification Testing in Nonparametric Instrumental Quantile Regression," SFB 649 Discussion Papers SFB649DP2016-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- De Gooijer, Jan G. & Zerom, Dawit, 2019. "Semiparametric quantile averaging in the presence of high-dimensional predictors," International Journal of Forecasting, Elsevier, vol. 35(3), pages 891-909.
- Gimenes, Nathalie & Guerre, Emmanuel, 2022. "Quantile regression methods for first-price auctions," Journal of Econometrics, Elsevier, vol. 226(2), pages 224-247.
- Cui, Xia & Zhao, Weihua & Lian, Heng & Liang, Hua, 2019. "Pursuit of dynamic structure in quantile additive models with longitudinal data," Computational Statistics & Data Analysis, Elsevier, vol. 130(C), pages 42-60.
- Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2014. "Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series," Econometrics Journal, Royal Economic Society, vol. 17(2), pages 101-131, June.
- repec:wyi:journl:002094 is not listed on IDEAS
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Shujie Ma & Oliver Linton & Jiti Gao, 2017.
"Estimation and inference in semiparametric quantile factor models,"
Monash Econometrics and Business Statistics Working Papers
8/17, Monash University, Department of Econometrics and Business Statistics.
- Ma, S. & Linton, O. & Gao, J., 2019. "Estimation and Inference in Semiparametric Quantile Factor Models," Cambridge Working Papers in Economics 1939, Faculty of Economics, University of Cambridge.
- Francesco Bravo, 2020. "Semiparametric quantile regression with random censoring," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 265-295, February.
- repec:wyi:journl:002114 is not listed on IDEAS
- Noh, Hohsuk & Lee, Eun, 2012. "Component Selection in Additive Quantile Regression Models," LIDAM Discussion Papers ISBA 2012021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Lili Yue & Gaorong Li & Heng Lian, 2019. "Identification and estimation in quantile varying-coefficient models with unknown link function," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(4), pages 1251-1275, December.
- Hao Dong & Taisuke Otsu & Luke Taylor, 2022.
"Nonparametric estimation of additive models with errors-in-variables,"
Econometric Reviews, Taylor & Francis Journals, vol. 41(10), pages 1164-1204, November.
- Dong, Hao & Otsu, Taisuke & Taylor, Luke, 2022. "Nonparametric estimation of additive models with errors-in-variables," LSE Research Online Documents on Economics 116007, London School of Economics and Political Science, LSE Library.
- Sungwon Lee & Joon H. Ro, 2020. "Nonparametric Tests for Conditional Quantile Independence with Duration Outcomes," Working Papers 2013, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Kanas, Angelos & Molyneux, Philip, 2018. "Macro stress testing the U.S. banking system," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 54(C), pages 204-227.
- Ma, Shujie & Linton, Oliver & Gao, Jiti, 2021.
"Estimation and inference in semiparametric quantile factor models,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 295-323.
- Shujie Ma & Oliver Linton & Jiti Gao, 2017. "Estimation and inference in semiparametric quantile factor models," Monash Econometrics and Business Statistics Working Papers 8/17, Monash University, Department of Econometrics and Business Statistics.
- Ma, S. & Linton, O. & Gao, J., 2019. "Estimation and Inference in Semiparametric Quantile Factor Models," Cambridge Working Papers in Economics 1933, Faculty of Economics, University of Cambridge.
- Joel L. Horowitz, 2015. "Variable selection and estimation in high-dimensional models," Canadian Journal of Economics, Canadian Economics Association, vol. 48(2), pages 389-407, May.
- Holger Dette & Regine Scheder, 2011. "Estimation of additive quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(2), pages 245-265, April.
- Weihua Zhao & Rui Li & Heng Lian, 2022. "High-dimensional quantile varying-coefficient models with dimension reduction," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(1), pages 1-19, January.
- Zhao, Weihua & Jiang, Xuejun & Lian, Heng, 2018. "A principal varying-coefficient model for quantile regression: Joint variable selection and dimension reduction," Computational Statistics & Data Analysis, Elsevier, vol. 127(C), pages 269-280.
- Wolfgang Karl Härdle & Ya'acov Ritov & Weining Wang, 2013. "Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators," SFB 649 Discussion Papers SFB649DP2013-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Yoshida, Takuma, 2018. "Semiparametric method for model structure discovery in additive regression models," Econometrics and Statistics, Elsevier, vol. 5(C), pages 124-136.
- Lian, Heng & Meng, Jie & Fan, Zengyan, 2015. "Simultaneous estimation of linear conditional quantiles with penalized splines," Journal of Multivariate Analysis, Elsevier, vol. 141(C), pages 1-21.
- Joel L. Horowitz, 2015. "Variable selection and estimation in high‐dimensional models," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 48(2), pages 389-407, May.
- Cai, Zongwu & Xiao, Zhijie, 2012.
"Semiparametric quantile regression estimation in dynamic models with partially varying coefficients,"
Journal of Econometrics, Elsevier, vol. 167(2), pages 413-425.
- Zongwu Cai & Zhijie Xiao, 2010. "Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients," Boston College Working Papers in Economics 761, Boston College Department of Economics.
- Christoph Breunig, 2019. "Specification Testing in Nonparametric Instrumental Quantile Regression," Papers 1909.10129, arXiv.org.
- Su, Liangjun & Hoshino, Tadao, 2016.
"Sieve instrumental variable quantile regression estimation of functional coefficient models,"
Journal of Econometrics, Elsevier, vol. 191(1), pages 231-254.
- Su Liangjun & Tadao Hoshino, 2015. "Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models," Working Papers 01-2015, Singapore Management University, School of Economics.
- Holger Dette & Matthias Guhlich & Natalie Neumeyer, 2015. "Testing for additivity in nonparametric quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(3), pages 437-477, June.
- Wu, Chaojiang & Yu, Yan, 2014. "Partially linear modeling of conditional quantiles using penalized splines," Computational Statistics & Data Analysis, Elsevier, vol. 77(C), pages 170-187.
- Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
- Takuma Yoshida, 2019. "Two stage smoothing in additive models with missing covariates," Statistical Papers, Springer, vol. 60(6), pages 1803-1826, December.
- Shujie Ma & Oliver Linton & Jiti Gao, 2018. "Estimation in semiparametric quantile factor models," CeMMAP working papers CWP07/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Cai, Zongwu & Chen, Linna & Fang, Ying, 2018. "A semiparametric quantile panel data model with an application to estimating the growth effect of FDI," Journal of Econometrics, Elsevier, vol. 206(2), pages 531-553.
- Ai, Chunrong & Li, Hongjun & Lin, Zhongjian & Meng, Meixia, 2015. "Estimation of panel data partly specified Tobit regression with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 316-326.
- Holger Dette, 2013. "Comments on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 437-441, September.
- Jerry Hausman & Haoyang Liu & Ye Luo & Christopher Palmer, 2021.
"Errors in the Dependent Variable of Quantile Regression Models,"
Econometrica, Econometric Society, vol. 89(2), pages 849-873, March.
- Jerry A. Hausman & Haoyang Liu & Ye Luo & Christopher Palmer, 2019. "Errors in the Dependent Variable of Quantile Regression Models," NBER Working Papers 25819, National Bureau of Economic Research, Inc.
- Lian, Heng, 2012. "A note on the consistency of Schwarz’s criterion in linear quantile regression with the SCAD penalty," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1224-1228.
- Kellner, Ralf & Nagl, Maximilian & Rösch, Daniel, 2022. "Opening the black box – Quantile neural networks for loss given default prediction," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Eun Ryung Lee & Hohsuk Noh & Byeong U. Park, 2014. "Model Selection via Bayesian Information Criterion for Quantile Regression Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(505), pages 216-229, March.
- Maria Marino & Alessio Farcomeni, 2015. "Linear quantile regression models for longitudinal experiments: an overview," METRON, Springer;Sapienza Università di Roma, vol. 73(2), pages 229-247, August.
- Takuma Yoshida, 2021. "Additive models for extremal quantile regression with Pareto-type distributions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(1), pages 103-134, March.
- Kumbhakar, Subal C. & Li, Mingyang & Lien, Gudbrand, 2023. "Do subsidies matter in productivity and profitability changes?," Economic Modelling, Elsevier, vol. 123(C).
- Christophe Crambes & Ali Gannoun & Yousri Henchiri, 2014. "Modelling functional additive quantile regression using support vector machines approach," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(4), pages 639-668, December.