Conditional empirical likelihood estimation and inference for quantile regression models

Journal of Econometrics

Volumn 142, Issue 1, 2008, Pages 508-538

  Otsu, Taisuke ^a  

^a YALE UNIVERSITY   (United States)

Author keywords

Conditional empirical likelihood; Empirical likelihood; Quantile regression

Indexed keywords

MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD; PROBLEM SOLVING; REGRESSION ANALYSIS;

CONDITIONAL EMPIRICAL LIKELIHOOD; EMPIRICAL LIKELIHOOD; QUANTILE REGRESSION;

INFERENCE ENGINES;

EID: 36148937124     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.08.016     Document Type: Article

References (45)

1. Ai C., and Chen X. Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables. Journal of Econometrics 141 (2007) 5-43
2. Amemiya T. Two stage least absolute deviations estimators. Econometrica 50 (1982) 689-712
3. Andrews D.W.K. Nonparametric kernel estimation for semiparametric models. Econometric Theory 11 (1995) 560-596
4. Bierens H.J., and Ginther D.K. Integrated conditional moment testing of quadratic regression models. Empirical Economics 26 (2001) 307-324
5. Buchinsky M. Estimating the asymptotic covariance matrix for quantile regression models: a Monte Carlo study. Journal of Econometrics 68 (1995) 303-338
6. Chen S.X., and Hall P. Smoothed empirical likelihood confidence intervals for quantiles. Annals of Statistics 21 (1993) 1166-1181
7. Chernozhukov, V., Hansen, C., 2001. An IV model of quantile treatment effects. Working Paper.
8. Chernozhukov V., and Hansen C. Instrumental quantile regression inference for structural and treatment effect models. Journal of Econometrics 132 (2006) 491-525
9. Chernozhukov V., and Hong H. An MCMC approach to classical estimation. Journal of Econometrics 115 (2003) 293-346
10. Chernozhukov, V., Hansen, C., Jansson, M., 2006. Finite sample inference for quantile regression models. Working Paper.
11. Christoffersen, P.F., Hahn, J., Inoue, A., 2001. Testing, comparing, and combining value-at-risk measures. Working Paper.
12. Davidson R., and MacKinnon J.G. Implicit alternatives and the local power of test statistics. Econometrica 55 (1987) 1305-1329
13. Donald S.G., Imbens G., and Newey W.K. Empirical likelihood estimation and consistent tests with conditional moment restrictions. Journal of Econometrics 117 (2003) 55-93
14. Hart J.D. Nonparametric Smoothing and Lack-of-Fit Tests (1997), Springer, New York
15. Horowitz J.L. Bootstrap methods for median regression models. Econometrica 66 (1998) 1327-1351
16. Kemp, G.C.R., 2005. GEL estimation and inference with non-smooth moment indicators and dynamic data. Working Paper.
17. Kim T.H., and White H. Estimation, inference, and specification testing for possibly misspecified quantile regressions. In: Fomby T., and Hill R.C. (Eds). Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later (2003), Elsevier, New York
18. Kitamura, Y., 2003. A likelihood-based approach to the analysis of a class of nested and non-nested models. Working Paper.
19. Kitamura Y., Tripathi G., and Ahn H. Empirical likelihood-based inference in conditional moment restriction models. Econometrica 72 (2004) 1667-1714
20. Koenker R. Confidence intervals for regression quantiles. In: Mandl P., and Huskova M. (Eds). Proceedings of the 5th Prague Symposium on Asymptotic Statistics (1994), Physica-Verlag, Heidelberg
21. Koenker R. Quantile Regression (2005), Cambridge University Press, Cambridge
22. Koenker R., and Bassett G. Regression quantiles. Econometrica 46 (1978) 33-50
23. Koenker R., and Machado J.A.F. Goodness of fit and related inference processes for quantile regression. Journal of the American Statistical Association 94 (1999) 1296-1310
24. Koenker R., and Park B.J. An interior point algorithm for nonlinear quantile regression. Journal of Econometrics 71 (1996) 265-283
25. Komunjer I. Quasi-maximum likelihood estimation for conditional quantiles. Journal of Econometrics 128 (2005) 137-164
26. Komunjer, I., Vuong, Q., 2006a. Efficient conditional quantile estimation: the time series case. Working Paper.
27. Komunjer, I., Vuong, Q., 2006b. Semiparametric efficiency bound and M-estimation in time-series models for conditional quantiles. Working Paper.
28. LeBlanc M., and Crowley J. Semiparametric regression functionals. Journal of the American Statistical Association 90 (1995) 95-105
29. Nelder J.A., and Mead R. A simplex algorithm for function minimization. Computer Journal 7 (1965) 308-313
30. Newey W.K., and Powell J.L. Efficient estimation of linear and type I censored regression models under conditional quantile restrictions. Econometric Theory 6 (1990) 295-317
31. Otsu, T., 2006. RESET for quantile regression. Working Paper.
32. Owen A. Empirical Likelihood (2001), Chapman & Hall, London
33. Parente, P.M.D.C., Smith, R.J., 2005. GEL methods for non-smooth moment indicators. Working Paper.
34. Parzen M.I., Wei L., and Ying Z. A resampling method based on pivotal estimating functions. Biometrika 81 (1994) 341-350
35. Powell J.L. Least absolute deviation estimator for the censored regression model. Journal of Econometrics 25 (1984) 303-325
36. Powell J.L. Censored regression quantiles. Journal of Econometrics 32 (1986) 143-155
37. Stein, C., 1956. Efficient nonparametric testing and estimation. In: Proceedings of the 3rd Berkeley Symposium in Mathematical Statistics and Probability, vol. 1. University of California Press, Berkeley, pp. 187-196.
38. Stone C.J. Optimal rates of convergence for nonparametric estimators. Annals of Statistics 8 (1980) 1348-1360
39. Stone C.J. Optimal global rates of convergence for nonparametric regression. Annals of Statistics 10 (1982) 1040-1053
40. Tripathi G., and Kitamura Y. Testing conditional moment restrictions. Annals of Statistics 31 (2003) 2059-2095
41. van der Vaart A.W., and Wellner J.A. Weak Convergence and Empirical Process (1996), Springer, New York
42. Whang Y.-J. Smoothed empirical likelihood methods for quantile regression models. Econometric Theory 22 (2006) 173-205
43. Zhang J., and Gijbels I. Sieve empirical likelihood and extensions of the generalized least squares. Scandinavian Journal of Statistics 30 (2003) 1-24
44. Zhao Q. Asymptotically efficient median regression in the presence of heteroskedasticity of unknown form. Econometric Theory 17 (2001) 765-784
45. Zheng J.X. A consistent nonparametric test of parametric regression models under conditioning quantile restrictions. Econometric Theory 14 (1998) 123-138