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arXiv · 0803.2474

Quantile Estimation of A general Single-Index Model

Efang Kong·Yingcun Xia
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Abstract

The single-index model is one of the most popular semiparametric models in Econometrics. In this paper, we define a quantile regression single-index model, which includes the single-index structure for conditional mean and for conditional variance.

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Efang Kong, Yingcun Xia. 2008-09-24. Quantile Estimation of A general Single-Index Model. https://arxiv.org/abs/0803.2474

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