期刊
JOURNAL OF ECONOMETRICS
卷 152, 期 2, 页码 179-185出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2009.01.001
关键词
Asymmetric least squares; Cubic splines; Quantile regression; Signal extraction; State space smoother
资金
- ESRC [ES/E002447/1] Funding Source: UKRI
- Economic and Social Research Council [ES/E002447/1] Funding Source: researchfish
A time-varying quantile can be fitted by formulating a time series model for the corresponding population quantile and iteratively applying a suitably modified state space signal extraction algorithm. It is shown that such quantiles satisfy the defining property of fixed quantiles in having the appropriate number of observations above and below. Like quantiles, time-varying expectiles can be estimated by a state space signal extraction algorithm and they satisfy properties that generalize the moment conditions associated with fixed expectiles. Because the state space form can handle irregularly spaced observations, the proposed algorithms can be adapted to provide a viable means of computing spline-based non-parametric quantile and expectile regressions. (C) 2009 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据