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09-104/4 - Efficient Estimation of an Additive Quantile Regression


  • Authors
    Yebin Cheng, Shanghai University of Finance; Jan G. De Gooijer, University of Amsterdam; Dawit Zerom, California State University at Fullerton
  • Publication date
    November 19, 2009
  • Keywords
    Additive models, Asymptotic properties, Dependent data, Internalized kernel smoother, Local polynomial, Oracle efficiency
  • JEL
    C01, C14