Quantile selection in non-linear GMM quantile models

Luciano de Castro, Antonio Galvao and Gabriel Montes-Rojas ()

Economics Letters, 2020, vol. 195, issue C

Abstract: This note proposes a non-linear GMM quantile regression model to estimate the quantile as an additional parameter. The limiting distribution is studied. An empirical application to an intertemporal consumption model built on a structural dynamic quantile utility model illustrates the estimator. Using US data, it separately estimates the elasticity of intertemporal substitution and the risk attitude, which is captured by the estimated quantile.

Keywords: Quantile regression; Instrumental variables; Quantile preferences; Elasticity of intertemporal substitution; Risk attitude (search for similar items in EconPapers)
JEL-codes: C31 C32 C36 E21 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302470

DOI: 10.1016/j.econlet.2020.109402

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