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Magnus, Jan R.; Sentana, Enrique - In: Economics letters 196 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012510901

Quantile regression with generated regressors

Chen, Liqiong; Galvão Júnior, Antônio Fialho; Song, … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-35

This paper studies estimation and inference for linear quantile regression models with generated regressors. We suggest a practical two-step estimation procedure, where the generated regressors are computed in the first step. The asymptotic properties of the two-step estimator, namely,...

Persistent link: https://www.econbiz.de/10012504016

Risk and return in the Spanish stock market : some evidence from individual assets

Sentana, Enrique - In: Investigaciones económicas 21 (1997) 2, pp. 297-359

Persistent link: https://www.econbiz.de/10001234518

On the equivalence of instrumental variables estimators for linear models

Galvão Júnior, Antônio Fialho; Montes-Rojas, Gabriel - In: Economics letters 134 (2015), pp. 13-15

Persistent link: https://www.econbiz.de/10011432131

On testing the equality of mean and quantile effects

Bera, Anil K.; Galvão Júnior, Antônio Fialho; Wang, Liang - In: Journal of econometric methods 3 (2014) 1, pp. 47-62

Persistent link: https://www.econbiz.de/10010242083

Bayesian endogeneity bias modeling

Montes-Rojas, Gabriel; Galvão Júnior, Antônio Fialho - In: Economics letters 122 (2014) 1, pp. 36-39

Persistent link: https://www.econbiz.de/10010393981

Quadratic ARCH models

Sentana, Enrique - In: The review of economic studies 62 (1995) 4, pp. 639-661

Persistent link: https://www.econbiz.de/10001189784

On the unbiased asymptotic normality of quantile regression with fixed effects

Galvão Júnior, Antônio Fialho; Gu, Jiaying; … - In: Journal of econometrics 218 (2020) 1, pp. 178-215

Persistent link: https://www.econbiz.de/10012482937

Smoothed GMM for quantile models

Castro, Luciano I. de; Galvão Júnior, Antônio Fialho; … - In: Journal of econometrics 213 (2019) 1, pp. 121-144

Persistent link: https://www.econbiz.de/10012304545

Asymmetric laplace regression : maximum likelihood, maximum entropy and quantile regression

Bera, Anil K.; Galvão Júnior, Antônio Fialho; … - In: Journal of econometric methods 5 (2016) 1, pp. 79-101

Persistent link: https://www.econbiz.de/10011865041