Quantile Estimation of A general Single-Index Model
Methodology
2008-09-24 v4
Abstract
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.
Cite
@article{arxiv.0803.2474,
title = {Quantile Estimation of A general Single-Index Model},
author = {Efang Kong and Yingcun Xia},
journal= {arXiv preprint arXiv:0803.2474},
year = {2008}
}
Comments
32pages