Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models
中位数约束模型中基于符号与秩的半参数有效推断
Summary Since the pioneering work of Koenker and Bassett, median-restricted models have attracted considerable interest. Attention in these models, so far, has focused on least absolute deviation (auto-)regression quantile estimation and the corresponding sign tests. These methods use a pseudolikelihood that is based on a double-exponential reference density and enjoy quite attractive properties of root n consistency (for estimators) and distribution freeness (for tests).…