Journal article
Quantile selection in non-linear GMM quantile models
Economics letters, Vol.195, p.109402
10/2020
DOI: 10.1016/j.econlet.2020.109402
Abstract
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.
•Estimator for a structural nonlinear quantile model together most representative quantile.•GMM implementation with an additional moment condition as in Bera et al. (2016).•Estimator is consistent and asymptotically normally distributed.•Estimation of elasticity of intertemporal substitution in a quantile utility model.•Results indicate that the representative consumer has an above the median quantile risk attitude.
Details
- Title: Subtitle
- Quantile selection in non-linear GMM quantile models
- Creators
- Luciano de Castro - University of IowaAntonio F. Galvao - University of ArizonaGabriel Montes-Rojas - University of Buenos Aires
- Resource Type
- Journal article
- Publication Details
- Economics letters, Vol.195, p.109402
- Publisher
- Elsevier B.V
- DOI
- 10.1016/j.econlet.2020.109402
- ISSN
- 0165-1765
- eISSN
- 1873-7374
- Language
- English
- Date published
- 10/2020
- Academic Unit
- Economics
- Record Identifier
- 9984380471902771
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