info:eu-repo/semantics/article
Quantile selection in non-linear GMM quantile models
Fecha
2020-07-16Registro en:
de Castro, Luciano; Galvao, Antonio F.; Montes Rojas, Gabriel Victorio; Quantile selection in non-linear GMM quantile models; Elsevier; Economics Letters; 195; 109402; 16-7-2020; 1-4
0165-1765
CONICET Digital
CONICET
Autor
de Castro, Luciano
Galvao, Antonio F.
Montes Rojas, Gabriel Victorio
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.