Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks
极端条件分位数模型的推断:市场与出生体重风险应用
Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile regression applied to the tails, is of interest in many economic and financial applications, such as conditional value-at-risk, production efficiency, and adjustment bands in (S,s) models. In this paper we provide feasible inference tools for…