Efficient estimation in dynamic conditional quantile models

Ivana Komunjer, Quang Vuong

    Research output: Contribution to journalArticle

    Abstract

    In this paper we consider the problem of semiparametric efficient estimation in conditional quantile models with time series data. We construct an M-estimator which achieves the semiparametric efficiency bound recently derived by Komunjer and Vuong (forthcoming). Our efficient M-estimator is obtained by minimizing an objective function which depends on a nonparametric estimator of the conditional distribution of the variable of interest rather than its density. The estimator is new and not yet seen in the literature. We illustrate its performance through a Monte Carlo experiment.

    Original languageEnglish (US)
    Pages (from-to)272-285
    Number of pages14
    JournalJournal of Econometrics
    Volume157
    Issue number2
    DOIs
    StatePublished - Aug 2010

    Keywords

    • Conditional quantiles
    • Dependence
    • Semiparametric efficiency
    • Time series models

    ASJC Scopus subject areas

    • Economics and Econometrics

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