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Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks
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Cited by:
- Xavier D’Haultfoeuille & Arnaud Maurel & Xiaoyun Qiu & Yichong Zhang, 2020.
"Estimating selection models without an instrument with Stata,"
Stata Journal, StataCorp LP, vol. 20(2), pages 297-308, June.
- Xavier D'Haultfoeuille & Arnaud Maurel & Xiaoyun Qiu & Yichong Zhang, 2019. "Estimating Selection Models without Instrument with Stata," NBER Working Papers 25823, National Bureau of Economic Research, Inc.
- D'Haultfoeuille, Xavier & Maurel, Arnaud & Qiu, Xiaoyun & Zhang, Yichong, 2019. "Estimating Selection Models without Instrument with Stata," IZA Discussion Papers 12486, Institute of Labor Economics (IZA).
- Yuya Sasaki & Yulong Wang, 2022.
"Fixed-k Inference for Conditional Extremal Quantiles,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 829-837, April.
- Yuya Sasaki & Yulong Wang, 2019. "Fixed-k Inference for Conditional Extremal Quantiles," Papers 1909.00294, arXiv.org, revised Jul 2020.
- Zhengyu Zhang & Zequn Jin & Lihua Lin, 2024. "Identification and inference of outcome conditioned partial effects of general interventions," Papers 2407.16950, arXiv.org.
- Becker, Sascha & Hvide, Hans V, 2013.
"Do entrepreneurs matter?,"
CAGE Online Working Paper Series
109, Competitive Advantage in the Global Economy (CAGE).
- Becker, Sascha O. & Hvide, Hans K., 2013. "Do entrepreneurs matter?," CEPR Discussion Papers 9295, C.E.P.R. Discussion Papers.
- Sascha Becker & Hans K. Hvide & Sascha O. Becker, 2013. "Do Entrepreneurs Matter?," CESifo Working Paper Series 4088, CESifo.
- Becker, Sascha O. & Hvide, Hans K., 2013. "Do entrepreneurs matter?," Economic Research Papers 270547, University of Warwick - Department of Economics.
- Becker, Sascha O. & Hvide, Hans K., 2013. "Do entrepreneurs matter?," The Warwick Economics Research Paper Series (TWERPS) 1002, University of Warwick, Department of Economics.
- Becker, Sascha O. & Hvide, Hans K., 2013. "Do Entrepreneurs Matter?," IZA Discussion Papers 7146, Institute of Labor Economics (IZA).
- Victor Chernozhukov & Iván Fernández-Val & Blaise Melly, 2022.
"Fast algorithms for the quantile regression process,"
Empirical Economics, Springer, vol. 62(1), pages 7-33, January.
- Victor Chernozhukov & Iv'an Fern'andez-Val & Blaise Melly, 2019. "Fast Algorithms for the Quantile Regression Process," Papers 1909.05782, arXiv.org, revised Apr 2020.
- Victor Chernozhukov & Iv'an Fern'andez-Val & Jonas Meier & Aico van Vuuren & Francis Vella, 2024. "Conditional Rank-Rank Regression," Papers 2407.06387, arXiv.org.
- Kaplan, David M., 2015.
"Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion,"
Journal of Econometrics, Elsevier, vol. 185(1), pages 20-32.
- David M. Kaplan, 2013. "Improved Quantile Inference Via Fixed-Smoothing Asymptotics And Edgeworth Expansion," Working Papers 1313, Department of Economics, University of Missouri.
- Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2022. "Weighted-average quantile regression," Papers 2203.03032, arXiv.org.
- Wang, Yulong & Xiao, Zhijie, 2022.
"Estimation and inference about tail features with tail censored data,"
Journal of Econometrics, Elsevier, vol. 230(2), pages 363-387.
- Yulong Wang & Zhijie Xiao, 2020. "Estimation and Inference about Tail Features with Tail Censored Data," Boston College Working Papers in Economics 994, Boston College Department of Economics.
- Yulong Wang & Zhijie Xiao, 2020. "Estimation and Inference about Tail Features with Tail Censored Data," Papers 2002.09982, arXiv.org.
- Wei‐han Liu, 2020. "Are Gold and Government Bond Safe‐Haven Assets? An Extremal Quantile Regression Analysis," International Review of Finance, International Review of Finance Ltd., vol. 20(2), pages 451-483, June.
- Xiong, Qizhou, 2015. "Censored Fractional Response Model: Estimating Heterogeneous Relative Risk Aversion of European Households," IWH Discussion Papers 11/2015, Halle Institute for Economic Research (IWH).
- Martínez-Iriarte, Julián & Montes-Rojas, Gabriel & Sun, Yixiao, 2024.
"Unconditional effects of general policy interventions,"
Journal of Econometrics, Elsevier, vol. 238(2).
- Julian Martinez-Iriarte & Gabriel Montes-Rojas & Yixiao Sun, 2022. "Unconditional Effects of General Policy Interventions," Papers 2201.02292, arXiv.org, revised Jul 2023.
- Denis Chetverikov & Bradley Larsen & Christopher Palmer, 2016.
"IV Quantile Regression for Group‐Level Treatments, With an Application to the Distributional Effects of Trade,"
Econometrica, Econometric Society, vol. 84, pages 809-833, March.
- Denis Chetverikov & Bradley Larsen & Christopher Palmer, 2015. "IV Quantile Regression for Group-level Treatments, with an Application to the Distributional Effects of Trade," NBER Working Papers 21033, National Bureau of Economic Research, Inc.
- Yuya Sasaki & Yulong Wang, 2020. "Testing Finite Moment Conditions for the Consistency and the Root-N Asymptotic Normality of the GMM and M Estimators," Papers 2006.02541, arXiv.org, revised Sep 2020.
- Lee, Ji Hyung, 2016.
"Predictive quantile regression with persistent covariates: IVX-QR approach,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 105-118.
- Lee, JiHyung, 2015. "Predictive quantile regression with persistent covariates: IVX-QR approach," MPRA Paper 65150, University Library of Munich, Germany.
- Aida Caldera Sánchez & Oliver Röhn, 2016. "How do policies influence GDP tail risks?," OECD Economics Department Working Papers 1339, OECD Publishing.
- Daisuke Kurisu & Taisuke Otsu, 2021. "Nonparametric inference for extremal conditional quantiles," STICERD - Econometrics Paper Series 616, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Florens, Jean-Pierre & Simar, Léopold & Van Keilegom, Ingrid, 2014.
"Frontier estimation in nonparametric location-scale models,"
Journal of Econometrics, Elsevier, vol. 178(P3), pages 456-470.
- Florens , Mark & Simar, Leopold & Van Keilegom, Ingrid, 2011. "Frontier estimation in nonparametric location-scale models," LIDAM Discussion Papers ISBA 2011030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Florens, Jean-Pierre & Simar, Leopold & Van Keilegom, Ingrid, 2013. "Frontier estimation in nonparametric location-scale models," LIDAM Reprints ISBA 2013035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Vladislav Morozov, 2022. "Inference on Extreme Quantiles of Unobserved Individual Heterogeneity," Papers 2210.08524, arXiv.org, revised Jun 2023.
- Firpo, Sergio & Galvao, Antonio F. & Pinto, Cristine & Poirier, Alexandre & Sanroman, Graciela, 2022. "GMM quantile regression," Journal of Econometrics, Elsevier, vol. 230(2), pages 432-452.
- Oliver Himmler, 2009. "The Effects of School Competition on Academic Achievement and Grading Standards," CESifo Working Paper Series 2676, CESifo.
- Sulkhan Chavleishvili & Simone Manganelli, 2024.
"Forecasting and stress testing with quantile vector autoregression,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 66-85, January.
- Chavleishvili, Sulkhan & Manganelli, Simone, 2019. "Forecasting and stress testing with quantile vector autoregression," Working Paper Series 2330, European Central Bank.
- White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2015.
"VAR for VaR: Measuring tail dependence using multivariate regression quantiles,"
Journal of Econometrics, Elsevier, vol. 187(1), pages 169-188.
- Habert white & Tae-Hwan Kim & Simone Manganelli, 2012. "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles," Working papers 2012rwp-45, Yonsei University, Yonsei Economics Research Institute.
- Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2015. "VAR for VaR: measuring tail dependence using multivariate regression quantiles," Working Paper Series 1814, European Central Bank.
- Difang Huang & Jiti Gao & Tatsushi Oka, 2022.
"Semiparametric Single-Index Estimation for Average Treatment Effects,"
Papers
2206.08503, arXiv.org, revised Apr 2024.
- Difang Huang & Jiti Gao & Tatsushi Oka, 2022. "Semiparametric Single-Index Estimation for Average Treatment Effects," Monash Econometrics and Business Statistics Working Papers 10/22, Monash University, Department of Econometrics and Business Statistics.
- Andres Sagner, 2020. "High Dimensional Quantile Factor Analysis," Working Papers Central Bank of Chile 886, Central Bank of Chile.
- Yuya Sasaki & Yulong Wang, 2024. "Extreme Quantile Treatment Effects under Endogeneity: Evaluating Policy Effects for the Most Vulnerable Individuals," Papers 2409.03979, arXiv.org.
- Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022.
"Inference for extremal regression with dependent heavy-tailed data,"
TSE Working Papers
22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
- Abdelaati Daouia & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2023. "Inference for extremal regression with dependent heavy-tailed data," Post-Print hal-04554050, HAL.
- D’Haultfœuille, Xavier & Maurel, Arnaud & Zhang, Yichong, 2018.
"Extremal quantile regressions for selection models and the black–white wage gap,"
Journal of Econometrics, Elsevier, vol. 203(1), pages 129-142.
- D'Haultfoeuille, Xavier & Maurel, Arnaud & Zhang, Yichong, 2014. "Extremal Quantile Regressions for Selection Models and the Black-White Wage Gap," IZA Discussion Papers 8256, Institute of Labor Economics (IZA).
- Xavier D'Haultfoeuille & Arnaud Maurel & Yichong Zhang, 2014. "Extremal Quantile Regressions for Selection Models and the Black-White Wage Gap," NBER Working Papers 20257, National Bureau of Economic Research, Inc.
- Calluzzo, Paul & Dong, Gang Nathan, 2015. "Has the financial system become safer after the crisis? The changing nature of financial institution risk," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 233-248.
- Marilena Furno & Francesco Caracciolo, 2020. "Multi-valued Double Robust quantile treatment effect," Empirical Economics, Springer, vol. 58(5), pages 2545-2571, May.
- Valentina Corradi & Daniel Gutknecht, 2019. "Testing for Quantile Sample Selection," Papers 1907.07412, arXiv.org, revised Jan 2021.
- Grimsby, Gjermund, 2018. "Partly risky, partly solid – Performance study of public innovation loans," Research Policy, Elsevier, vol. 47(7), pages 1344-1365.
- Hou, Yanxi & Leng, Xuan & Peng, Liang & Zhou, Yinggang, 2024. "Panel quantile regression for extreme risk," Journal of Econometrics, Elsevier, vol. 240(1).
- Martina Pons, 2022. "The impact of air pollution on birthweight: evidence from grouped quantile regression," Empirical Economics, Springer, vol. 62(1), pages 279-296, January.
- David M. Kaplan, 2014. "Nonparametric Inference on Quantile Marginal Effects," Working Papers 1413, Department of Economics, University of Missouri.
- Michal Franta & Jan Vlcek, 2024. "Wage-Price Spirals: A Risk-Based Approach," Working Papers 2024/1, Czech National Bank.
- Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
- Grigory Franguridi & Bulat Gafarov & Kaspar Wüthrich, 2021. "Conditional Quantile Estimators: A Small Sample Theory," CESifo Working Paper Series 9046, CESifo.
- Maria Marino & Alessio Farcomeni, 2015. "Linear quantile regression models for longitudinal experiments: an overview," METRON, Springer;Sapienza Università di Roma, vol. 73(2), pages 229-247, August.
- Takuma Yoshida, 2021. "Additive models for extremal quantile regression with Pareto-type distributions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(1), pages 103-134, March.
- Kurisu, Daisuke & Otsu, Taisuke, 2023. "Subsampling inference for nonparametric extremal conditional quantiles," LSE Research Online Documents on Economics 120365, London School of Economics and Political Science, LSE Library.
- He, Fengyang & Wang, Huixia Judy & Zhou, Yuejin, 2022. "Extremal quantile autoregression for heavy-tailed time series," Computational Statistics & Data Analysis, Elsevier, vol. 176(C).