Jackknife Model Averaging for Quantile Regressions

In this paper, we consider the problem of frequentist model averaging for quantile regression (QR) when all the M models under investigation are potentially misspecified and the number of parameters in some or all models is diverging with the sample size n. To allow for the dependence between the er...

Full description

Saved in:
Bibliographic Details
Main Authors: LU, Xun, SU, Liangjun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/1594
https://ink.library.smu.edu.sg/context/soe_research/article/2593/viewcontent/11_2014.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Similar Items