Quantile Estimation of A general Single-Index Model

Details Quantile Estimation of A general Single-Index Model Quantile Estimation of A general Single-Index Model

2008-03-17

arxiv.org/abs/0803.2474v4

Statistics

Methodology

32pages

Scientific paper

The single-index model is one of the most popular semiparametric models in
Econometrics. In this paper, we define a quantile regression single-index
model, which includes the single-index structure for conditional mean and for
conditional variance.

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