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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Main Authors: | LU, Xun, SU, Liangjun |
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Format: | text |
Language: | English |
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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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