Jackknife model averaging for quantile regressions

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...

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Bibliographic Details
Main Authors: LU, Xun, SU, Liangjun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
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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
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Institution: Singapore Management University
Language: English

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