Combining least-squares and quantile regressions
文献类型：期刊论文
| 作者 | Zhou, Yong2,3 ; Wan, Alan T. K.1; Yuan, Yuan3
|
| 刊名 | JOURNAL OF STATISTICAL PLANNING AND INFERENCE
 |
| 出版日期 | 2011-12-01 |
| 卷号 | 141期号:12页码:3814-3828 |
| 关键词 | Empirical likelihood Estimating equations Generalized method of moments Kernel Smoothing |
| ISSN号 | 0378-3758 |
| DOI | 10.1016/j.jspi.2011.06.018 |
| 英文摘要 | Least-squares and quantile regressions are method of moments techniques that are typically used in isolation. A leading example where efficiency may be gained by combining least-squares and quantile regressions is one where some information on the error quantiles is available but the error distribution cannot be fully specified. This estimation problem may be cast in terms of solving an over-determined estimating equation (EE) system for which the generalized method of moments (GMM) and empirical likelihood (EL) are approaches of recognized importance. The major difficulty with implementing these techniques here is that the EEs associated with the quantiles are non-differentiable. In this paper, we develop a kernel-based smoothing technique for non-smooth EEs, and derive the asymptotic properties of the GMM and maximum smoothed EL (MSEL) estimators based on the smoothed EEs. Via a simulation study, we investigate the finite sample properties of the GMM and MSEL estimators that combine least-squares and quantile moment relationships. Applications to real datasets are also considered. (C) 2011 Elsevier B.V. All rights reserved. |
| 资助项目 | National Natural Science Funds for Distinguished Young Scholar[70825004] ; National Natural Science Foundation of China (NSFC)[10628104] ; National Natural Science Foundation of China (NSFC)[10731010] ; National Basic Research Program[2007CB814902] ; Creative Research Groups of China[10721101] ; Hong Kong Research Grants Council[CityU-102709] ; City University of Hong Kong[CityU-7008126] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000294149800015 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/11620]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Wan, Alan T. K. |
| 作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhou, Yong,Wan, Alan T. K.,Yuan, Yuan. Combining least-squares and quantile regressions[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE,2011,141(12):3814-3828. |
| APA | Zhou, Yong,Wan, Alan T. K.,&Yuan, Yuan.(2011).Combining least-squares and quantile regressions.JOURNAL OF STATISTICAL PLANNING AND INFERENCE,141(12),3814-3828. |
| MLA | Zhou, Yong,et al."Combining least-squares and quantile regressions".JOURNAL OF STATISTICAL PLANNING AND INFERENCE 141.12(2011):3814-3828. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。