Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients ∗

@inproceedings{Cai2010SemiparametricQR,
  title={Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients ∗},
  author={Zongwu Cai and Zhijie Xiao},
  year={2010}
}
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… CONTINUE READING

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