Which Quantile is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression
Anil K. Bera,
Antonio F. Galvao,
Gabriel Montes-Rojas and
Sung Y. Park
Chapter 7 in Econometric Methods and Their Applications in Finance, Macro and Related Fields, 2014, pp 167-199 from World Scientific Publishing Co. Pte. Ltd.
The following sections are included:IntroductionMaximum Likelihood and Maximum EntropyA Z-estimator for Quantile RegressionMonte Carlo SimulationsEmpirical Illustration: The Effect of Job Training on WagesConclusionsAppendixReferences
Keywords: Financial Econometrics; Applied Econometrics; Econometric Theory and Methods (search for similar items in EconPapers)
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