Quantiles, Expectiles and Splines
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- De Rossi, Giuliano & Harvey, Andrew, 2009. "Quantiles, expectiles and splines," Journal of Econometrics, Elsevier, vol. 152(2), pages 179-185, October.
- DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0702, Faculty of Economics, University of Cambridge.
References listed on IDEAS
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- Harvey, A.C. & Koopman, S.J.M., 1999. "Signal Extraction and the Formulation of Unobserved Components Models," Other publications TiSEM 44688527-92c9-4c46-ac53-f, Tilburg University, School of Economics and Management.
- Harvey, A.C. & Koopman, S.J.M., 1999. "Signal Extraction and the Formulation of Unobserved Components Models," Discussion Paper 1999-44, Tilburg University, Center for Economic Research.
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More about this item
Keywords
Asymmetric least squares; cubic splines; dispersion; non-parametric regression; quantile regression; signal extraction; state space smoother.;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-05-19 (Econometrics)
- NEP-ETS-2007-05-19 (Econometric Time Series)
- NEP-FOR-2007-05-19 (Forecasting)
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