Hallin, Marc; Vermandele, Catherine; Werker, Bas J. M. - In: Journal of the Royal Statistical Society Series B 70 (2008) 2, pp. 389-412
Since the pioneering work of Koenker and Bassett, median-restricted models have attracted considerable interest. Attention in these models, so far, has focused on least absolute deviation (auto-)regression quantile estimation and the corresponding sign tests. These methods use a pseudolikelihood...