INVESTIGADORES
MONTES ROJAS Gabriel Victorio
artículos
Título:
Quantile selection in non-linear GMM quantile models
Autor/es:
DE CASTRO, LUCIANO; GALVAO, ANTONIO F.; MONTES ROJAS, GABRIEL VICTORIO
Revista:
ECONOMICS LETTERS
Editorial:
NORTH-HOLLAND
Referencias:
Año: 2020 vol. 195 p. 1 - 4
ISSN:
0165-1765
Resumen:
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.
