Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
复制标题
具有部分变化系数的动态模型中的半参数分位数回归估计
DOI：
10.1016/j.jeconom.2011.09.025
复制
发表时间：
2012-04-01
影响因子：
6.3
通讯作者：
Xiao, Zhijie
中科院分区：
文献类型：
--
作者：
Cai, Zongwu;Xiao, Zhijie
研究部分变系数动态模型的分位数回归估计，使得某些系数的值可以是信息协变量的函数。提出了参数和非参数函数系数的估计。特别是，我们提出了一个三阶段的半参数过程。估计的一致性和渐近正态性。我们证明了参数估计是root-n相容的，函数系数的估计是预言的。此外，还讨论了参数估计的有效性，并提出了一种简单有效的估计量。提出了一种简单易行的变系数假设检验方法。蒙特卡洛实验进行评估所提出的估计的性能。(C)2011爱思唯尔有限公司版权所有。
We study quantile regression estimation for dynamic models with partially varying coefficients so that the values of some coefficients may be functions of informative covariates. Estimation of both parametric and nonparametric functional coefficients are proposed. In particular, we propose a three stage semiparametric procedure. Both consistency and asymptotic normality of the proposed estimators are derived. We demonstrate that the parametric estimators are root-n consistent and the estimation of the functional coefficients is oracle. In addition, efficiency of parameter estimation is discussed and a simple efficient estimator is proposed. A simple and easily implemented test for the hypothesis of a varying-coefficient is proposed. A Monte Carlo experiment is conducted to evaluate the performance of the proposed estimators. (C) 2011 Elsevier B.V. All rights reserved.