Two-Step Estimation and Inference with Possibly Many Included Covariates
نویسندگان
چکیده
منابع مشابه
Estimation , Inference , and Specification Testing for Possibly
To date the literature on quantile regression and least absolute deviation regression has assumed either explicitly or implicitly that the conditional quantile regression model is correctly specified. When the model is misspecified, confidence intervals and hypothesis tests based on the conventional covariance matrix are invalid. Although misspecification is a generic phenomenon and correct spe...
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ژورنال
عنوان ژورنال: The Review of Economic Studies
سال: 2018
ISSN: 0034-6527,1467-937X
DOI: 10.1093/restud/rdy053