Quasi-maximum likelihood estimation for conditional quantiles

Journal of Econometrics

Volumn 128, Issue 1, 2005, Pages 137-164

  Komunjer, Ivana ^a  

^a CALIFORNIA INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Asymptotic distribution; Conditional quantiles; Minimax representation; Misspecification; QMLE; Tick exponential family

Indexed keywords

ASYMPTOTIC STABILITY; CONVERGENCE OF NUMERICAL METHODS; MATHEMATICAL MODELS; OPTIMIZATION; PROBLEM SOLVING; THEOREM PROVING;

ASYMPTOTIC DISTRIBUTIONS; CONDITIONAL QUANTILES; LAPLACE DENSITY; MINIMAX REPRESENTATIONS; MISSPECIFICATION; QUASI-MAXIMUM LIKELIHOOD ESTIMATORS (QMLE); TICK-EXPONENTIAL FAMILY;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 21744436522     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.08.010     Document Type: Article

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