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Binary choice models with discrete regressors : identification and misspecification

Komarova, Tatiana - In: Journal of econometrics 177 (2013) 1, pp. 14-33

Persistent link: https://www.econbiz.de/10010189882

A stochastic EM algorithm for quantile and censored quantile regression models

Yang, Fengkai - In: Computational economics 52 (2018) 2, pp. 555-582

Persistent link: https://www.econbiz.de/10012053005

Estimating stochastic production frontiers : a one-stage multivariate semiparametric Bayesian concave regression method

Preciado Arreola, José Luis; Johnson, Andrew L.; Chen, … - In: European journal of operational research : EJOR 287 (2020) 2, pp. 699-711

Persistent link: https://www.econbiz.de/10012293942

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called...

Persistent link: https://www.econbiz.de/10012025262

Lower Bound Estimation - Quantile Regression and Simplex Method : An Application to Italian Manufacturing Sectors

Giorgetti, Maria Letizia - 2003

This paper estimates Sutton's lower bound [1991, 1998] by quantile regression, and thus shows the influence of outliers on previous estimates that used the simplex method. The lower bound estimates are obtained separately for exogenous and endogenous sunk cost industries in Italian manufacturing...

Persistent link: https://www.econbiz.de/10014080306