Jackknife model averaging for quantile regressions

• Main Authors: LU, Xun, SU, Liangjun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Final prediction error; High dimensionality; Model averaging; Model selection; Misspecification; Quantile regression; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1873; https://ink.library.smu.edu.sg/context/soe_research/article/2873/viewcontent/JackknifeModelAveragingQuantileRegressions_pp.pdf
• Institution: Singapore Management University

In this paper we consider model averaging for quantile regressions (QR) when all models under investigation are potentially misspecified and the number of parameters is diverging with the sample size. To allow for the dependence between the error terms and regressors in the QR models, we propose a j...