Artículo
Quantile selection in non-linear GMM quantile models
Fecha de publicación:
16/07/2020
Editorial:
Elsevier
Revista:
Economics Letters
ISSN:
0165-1765
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
This note proposes a non-linear GMM quantile regression model to estimate the quantile as an additional parameter. The limiting distribution is studied. An empirical application to an intertemporal consumption model built on a structural dynamic quantile utility model illustrates the estimator. Using US data, it separately estimates the elasticity of intertemporal substitution and the risk attitude, which is captured by the estimated quantile.
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Articulos(IIEP)
Articulos de INST. INTER. DE ECONOMIA POLITICA DE BUENOS AIRES
Articulos de INST. INTER. DE ECONOMIA POLITICA DE BUENOS AIRES
Citación
de Castro, Luciano; Galvao, Antonio F.; Montes Rojas, Gabriel Victorio; Quantile selection in non-linear GMM quantile models; Elsevier; Economics Letters; 195; 109402; 16-7-2020; 1-4
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