Efficient estimation in dynamic conditional quantile models

Ivana Komunjer and Quang Vuong

Journal of Econometrics, 2010, vol. 157, issue 2, 272-285

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.

Keywords: Semiparametric; efficiency; Time; series; models; Dependence; Conditional; quantiles (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:157:y:2010:i:2:p:272-285

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