Smoothed GMM for quantile models

Smoothed GMM for quantile models

We consider estimation of finite-dimensional parameters identified by general conditional quantile restrictions, including instrumental variables quantile regression. Within a generalized method of moments framework, moment functions are smoothed to aid both computation and precision. Consistency an...

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Bibliographic Details
Main Authors: de Castro, L. (Author), Galvao, A.F (Author), Kaplan, D.M (Author), Liu, X. (Author)
Format: Article
Language:English
Published: Elsevier Ltd 2019
Subjects:
Asymptotic normality
Conditional quantiles
Euler equations
Finite dimensional
Finite sample properties
Generalized method of moments
Instrumental variables
Method of moments
Nonlinear quantile regression
Quantile regression
Quantile utility maximization
Sampling
Utility maximizations
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