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Robust Model Selection and M-Estimation

Citations

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Cited by:

  1. Galvao Jr., Antonio F., 2009. "Unit root quantile autoregression testing using covariates," Journal of Econometrics, Elsevier, vol. 152(2), pages 165-178, October.
  2. Fritsch, Markus & Haupt, Harry & Ng, Pin T., 2016. "Urban house price surfaces near a World Heritage Site: Modeling conditional price and spatial heterogeneity," Regional Science and Urban Economics, Elsevier, vol. 60(C), pages 260-275.
  3. Cai, Zongwu & Xu, Xiaoping, 2009. "Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 371-383.
  4. Rockey, James & Temple, Jonathan, 2016. "Growth econometrics for agnostics and true believers," European Economic Review, Elsevier, vol. 81(C), pages 86-102.
  5. Gabriel Montes-Rojas & Zacharias Psaradakis & Martín Sola, 2024. "On Regime Separation in Markov-Switching Quantile Regressions," Department of Economics Working Papers 2024_05, Universidad Torcuato Di Tella.
  6. Huiyu Huang & Tae-Hwy Lee, 2013. "Forecasting Value-at-Risk Using High-Frequency Information," Econometrics, MDPI, vol. 1(1), pages 1-14, June.
  7. Demetrescu, Matei & Hacıoğlu Hoke, Sinem, 2019. "Predictive regressions under asymmetric loss: Factor augmentation and model selection," International Journal of Forecasting, Elsevier, vol. 35(1), pages 80-99.
  8. Baierl, Andreas & Futschik, Andreas & Bogdan, Malgorzata & Biecek, Przemyslaw, 2007. "Locating multiple interacting quantitative trait loci using robust model selection," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6423-6434, August.
  9. Mao, Guangyu, 2015. "Model selection of M-estimation models using least squares approximation," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 238-243.
  10. Sharmishtha Mitra & Amit Mitra, 2014. "M-estimator-based robust estimation of the number of components of a superimposed sinusoidal signal model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(4), pages 853-878, April.
  11. Liu, Xinyi Lin & Wallin, Gabriel & Chen, Yunxiao & Moustaki, Irini, 2023. "Rotation to sparse loadings using Lp losses and related inference problems," LSE Research Online Documents on Economics 118349, London School of Economics and Political Science, LSE Library.
  12. La Vecchia, Davide & Camponovo, Lorenzo & Ferrari, Davide, 2015. "Robust heart rate variability analysis by generalized entropy minimization," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 137-151.
  13. Mao, Guangyu, 2013. "Model selection for regression with heteroskedastic and autocorrelated errors," Economics Letters, Elsevier, vol. 118(3), pages 497-501.
  14. Anil K. Bera & Antonio F. Galvao Jr. & Gabriel V. Montes-Rojas & Sung Y. Park, 2014. "Which Quantile is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression," World Scientific Book Chapters, in: Kaddour Hadri & William Mikhail (ed.), Econometric Methods and Their Applications in Finance, Macro and Related Fields, chapter 7, pages 167-199, World Scientific Publishing Co. Pte. Ltd..
  15. Giuzio, Margherita & Ferrari, Davide & Paterlini, Sandra, 2016. "Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization," European Journal of Operational Research, Elsevier, vol. 250(1), pages 251-261.
  16. Lu, Xun & Su, Liangjun, 2015. "Jackknife model averaging for quantile regressions," Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
  17. Elbakry, Ashraf E. & Nwachukwu, Jacinta C. & Abdou, Hussein A. & Elshandidy, Tamer, 2017. "Comparative evidence on the value relevance of IFRS-based accounting information in Germany and the UK," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 28(C), pages 10-30.
  18. Ahmed Abdalla & Mathias Becker & Till Stellmacher, 2023. "The Contribution of Agronomic Management to Sustainably Intensify Egypt’s Wheat Production," Agriculture, MDPI, vol. 13(5), pages 1-15, April.
  19. Anthoulla Phella, 2020. "Consistent Specification Test of the Quantile Autoregression," Papers 2010.03898, arXiv.org, revised Jan 2024.
  20. Stephane Heritier & Maria-Pia Victoria-Feser, 2018. "Discussion of “The power of monitoring: how to make the most of a contaminated multivariate sample” by Andrea Cerioli, Marco Riani, Anthony C. Atkinson and Aldo Corbellini," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(4), pages 595-602, December.
  21. Chavleishvili, Sulkhan & Kremer, Manfred & Lund-Thomsen, Frederik, 2023. "Quantifying financial stability trade-offs for monetary policy: a quantile VAR approach," Working Paper Series 2833, European Central Bank.
  22. Antonio F. Galvao JR. & Gabriel Montes-Rojas & Sung Y. Park, 2013. "Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(2), pages 307-321, April.
  23. Xu, Qifa & Niu, Xufeng & Jiang, Cuixia & Huang, Xue, 2015. "The Phillips curve in the US: A nonlinear quantile regression approach," Economic Modelling, Elsevier, vol. 49(C), pages 186-197.
  24. Pierluigi Vallarino, 2024. "Dynamic kernel models," Tinbergen Institute Discussion Papers 24-082/III, Tinbergen Institute.
  25. Paolo Frumento & Nicola Salvati, 2021. "Parametric modeling of quantile regression coefficient functions with count data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(4), pages 1237-1258, October.
  26. Xinyi Liu & Gabriel Wallin & Yunxiao Chen & Irini Moustaki, 2023. "Rotation to Sparse Loadings Using $$L^p$$ L p Losses and Related Inference Problems," Psychometrika, Springer;The Psychometric Society, vol. 88(2), pages 527-553, June.
  27. repec:wyi:journl:002126 is not listed on IDEAS
  28. repec:wyi:journl:002094 is not listed on IDEAS
  29. Timothy Beatty, 2009. "Semiparametric quantile Engel curves and expenditure elasticities: a penalized quantile regression spline approach," Applied Economics, Taylor & Francis Journals, vol. 41(12), pages 1533-1542.
  30. Anthoulla Phella, 2020. "Forecasting With Factor-Augmented Quantile Autoregressions: A Model Averaging Approach," Papers 2010.12263, arXiv.org.
  31. Tang, Yanlin & Wang, Huixia Judy & Zhu, Zhongyi, 2013. "Variable selection in quantile varying coefficient models with longitudinal data," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 435-449.
  32. Bera Anil K. & Galvao Antonio F. & Montes-Rojas Gabriel V. & Park Sung Y., 2016. "Asymmetric Laplace Regression: Maximum Likelihood, Maximum Entropy and Quantile Regression," Journal of Econometric Methods, De Gruyter, vol. 5(1), pages 79-101, January.
  33. de Castro, Luciano & Galvao, Antonio F. & Montes-Rojas, Gabriel, 2020. "Quantile selection in non-linear GMM quantile models," Economics Letters, Elsevier, vol. 195(C).
  34. Arie Preminger & Shinichi Sakata, 2007. "A model selection method for S-estimation," Econometrics Journal, Royal Economic Society, vol. 10(2), pages 294-319, July.
  35. Giessing, Alexander & He, Xuming, 2019. "On the predictive risk in misspecified quantile regression," Journal of Econometrics, Elsevier, vol. 213(1), pages 235-260.
  36. Eun Ryung Lee & Hohsuk Noh & Byeong U. Park, 2014. "Model Selection via Bayesian Information Criterion for Quantile Regression Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(505), pages 216-229, March.
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