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Asymptotics for Least Absolute Deviation Regression Estimators. (1991). Pollard, David .
In: Econometric Theory.
RePEc:cup:etheor:v:7:y:1991:i:02:p:186-199_00.

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  95. Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified. (2016). Francq, Christian ; el Ghourabi, Mohamed ; Telmoudi, Fedya .
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:37:y:2016:i:1:p:46-76.

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  96. Predictive quantile regression with persistent covariates: IVX-QR approach. (2015). Lee, Ji Hyung.
    In: MPRA Paper.
    RePEc:pra:mprapa:65150.

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  97. Variable selection in semiparametric hazard regression for multivariate survival data. (2015). Liu, Jicai ; Lv, Yazhao ; Yazhao Lv, ; Zhang, Riquan.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:142:y:2015:i:c:p:26-40.

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  98. Does modeling lead to more accurate classification?: A study of relative efficiency in linear classification. (2015). Wang, Rui ; Lee, Yoonkyung.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:133:y:2015:i:c:p:232-250.

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  99. Adaptive estimation of the threshold point in threshold regression. (2015). Yu, Ping .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:189:y:2015:i:1:p:83-100.

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  100. Jackknife model averaging for quantile regressions. (2015). Su, Liangjun ; Lu, Xun.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:188:y:2015:i:1:p:40-58.

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  101. Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso. (2015). Fan, Qingliang (Michael) ; Caner, Mehmet.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:1:p:256-274.

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  102. Estimation in generalised varying-coefficient models with unspecified link functions. (2015). Li, Degui ; Xia, Yingcun ; Zhang, Wenyang.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:1:p:238-255.

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  103. Quantile regression methods with varying-coefficient models for censored data. (2015). Xie, Shangyu ; Zhou, Yong ; Wan, Alan T. K., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:88:y:2015:i:c:p:154-172.

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  104. Testing for Monotonicity in Unobservables under Unconfoundedness. (2015). Su, Liangjun ; hoderlein, stefan ; Yang, Thomas Tao ; White, Halbert.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:899.

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  105. SCAD-penalized quantile regression for high-dimensional data analysis and variable selection. (2015). Amin, Muhammad ; Wang, Xiaoguang ; Thorlie, Milton Abdul ; Song, Lixin .
    In: Statistica Neerlandica.
    RePEc:bla:stanee:v:69:y:2015:i:3:p:212-235.

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  106. HYPOTHESIS TESTING FOR ARCH MODELS: A MULTIPLE QUANTILE REGRESSIONS APPROACH. (2015). Kim, Seonjin.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:36:y:2015:i:1:p:26-38.

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  107. A Varying-Coefficient Expectile Model for Estimating Value at Risk. (2014). Alan T. K. Wan, ; Zhou, Yong ; Xie, Shangyu ; Alan T. K. Wan, .
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:32:y:2014:i:4:p:576-592.

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  108. Segmented Model Selection in Quantile Regression Using the Minimum Description Length Principle. (2014). Aue, Alexander ; Thomas C. M. Lee, ; Thomas C. M. Lee, ; Rex C. Y. Cheung, ; Zhong, Ming.
    In: Journal of the American Statistical Association.
    RePEc:taf:jnlasa:v:109:y:2014:i:507:p:1241-1256.

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  109. Local composite quantile regression estimation of time-varying parameter vector for multidimensional time-inhomogeneous diffusion models. (2014). Wang, Ji-Xia ; Xiao, Qing-Xian .
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:41:y:2014:i:11:p:2437-2449.

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  110. Testing in linear composite quantile regression models. (2014). Qian, Wei-Min ; Jiang, Rong ; Li, Jing-Ru.
    In: Computational Statistics.
    RePEc:spr:compst:v:29:y:2014:i:5:p:1381-1402.

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  111. Extremal Quantile Regressions for Selection Models and the Black-White Wage Gap. (2014). Maurel, Arnaud ; D'Haultfoeuille, Xavier ; Zhang, Yichong.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20257.

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  112. Extremal Quantile Regressions for Selection Models and the Black-White Wage Gap. (2014). Maurel, Arnaud ; D'Haultfoeuille, Xavier ; Zhang, Yichong.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp8256.

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  113. Asymptotic theory for LAD estimation of moderate deviations from a unit root. (2014). Zhou, Zhiyong ; Lin, Zhengyan .
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:90:y:2014:i:c:p:25-32.

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  114. Analyzing right-censored and length-biased data with varying-coefficient transformation model. (2014). Zhou, Yong ; Lin, Cunjie .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:130:y:2014:i:c:p:45-63.

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  115. Financial nexus: Efficiency and soundness in banking and capital markets. (2014). Spulbar, Cristi ; Dima, Bogdan ; Dinc, Marius Sorin ; Spulbr, Cristi .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:47:y:2014:i:c:p:100-124.

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  116. Interquantile shrinkage and variable selection in quantile regression. (2014). Bondell, Howard D. ; Jiang, Liewen ; Wang, Huixia Judy.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:69:y:2014:i:c:p:208-219.

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  117. Multi-level Conditional VaR Estimation in Dynamic Models. (2014). Zakoian, Jean-Michel ; Francq, Christian.
    In: Working Papers.
    RePEc:crs:wpaper:2014-01.

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  118. A PARAMETER-DRIVEN LOGIT REGRESSION MODEL FOR BINARY TIME SERIES. (2014). Wu, Rongning ; Cui, Yunwei .
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:35:y:2014:i:5:p:462-477.

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  119. Robust variable selection for the varying coefficient model based on composite L 1 -- L 2 regression. (2013). Liu, Jicai ; Zhao, Weihua ; Zhang, Riquan.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:40:y:2013:i:9:p:2024-2040.

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  120. Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified. (2013). Francq, Christian ; el Ghourabi, Mohamed ; Telmoudi, Fedya .
    In: MPRA Paper.
    RePEc:pra:mprapa:51150.

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  121. Asymptotic normality for a local composite quantile regression estimator of regression function with truncated data. (2013). Zhang, Hui-Zeng ; Ma, Wei-Min ; Wen, Li-Min ; Wang, Jiang-Feng .
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:83:y:2013:i:6:p:1571-1579.

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  122. Nonparametric LAD cointegrating regression. (2013). Honda, Toshio.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:117:y:2013:i:c:p:150-162.

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  123. Quantile Prediction. (2013). Komunjer, Ivana .
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-961.

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  124. Statistical inference and visualization in scale-space using local likelihood. (2013). Park, Cheolwoo ; Huh, Jib .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:57:y:2013:i:1:p:336-348.

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  125. Weighted quantile regression for AR model with infinite variance errors. (2012). Chen, Zhao ; Wu, Yaohua ; Li, Runze.
    In: Journal of Nonparametric Statistics.
    RePEc:taf:gnstxx:v:24:y:2012:i:3:p:715-731.

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  126. Design-adaptive nonparametric estimation of conditional quantile derivatives. (2012). Goh, Chuan.
    In: Journal of Nonparametric Statistics.
    RePEc:taf:gnstxx:v:24:y:2012:i:3:p:597-612.

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  127. Quantile regression for long memory testing: A case of realized volatility. (2012). Rodrigues, Paulo ; Hassler, Uwe ; Rubia, Antonio ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, .
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  128. Risk-parameter estimation in volatility models. (2012). Zakoian, Jean-Michel ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:41713.

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  129. Nonparametric estimation of the regression function having a change point in generalized linear models. (2012). Huh, Jib .
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:82:y:2012:i:4:p:843-851.

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  130. Rank-based inference for the single-index model. (2012). Zou, Changliang ; Wang, Zhaojun ; Feng, Long.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:82:y:2012:i:3:p:535-541.

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  131. Bootstrap confidence bands and partial linear quantile regression. (2012). Härdle, Wolfgang ; Song, Song ; Ritov, Yaaacov ; Hrdle, Wolfgang K..
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:107:y:2012:i:c:p:244-262.

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  132. Local Walsh-average regression. (2012). Zou, Changliang ; Wang, Zhaojun ; Feng, Long.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:106:y:2012:i:c:p:36-48.

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  133. Robust inference in nonstationary time series models. (2012). Xiao, Zhijie.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:169:y:2012:i:2:p:211-223.

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  134. Bayesian averaging, prediction and nonnested model selection. (2012). Preston, Bruce ; Hong, Han.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:167:y:2012:i:2:p:358-369.

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  135. Simultaneous estimation and factor selection in quantile regression via adaptive sup-norm regularization. (2012). Jhun, Myoungshic ; Bang, Sungwan .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:4:p:813-826.

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  136. Bias Transmission and Variance Reduction in Two-Stage Quantile Regression. (2012). MULLER, Christophe ; Kim, Tae-Hwan.
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  137. Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?. (2012). Kristensen, Johannes.
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  138. Penalized least absolute deviations estimation for nonlinear model with change-points. (2011). Ciuperca, Gabriela.
    In: Statistical Papers.
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  139. Estimating nonlinear regression with and without change-points by the LAD method. (2011). Ciuperca, Gabriela.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:63:y:2011:i:4:p:717-743.

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  140. On the weighted multivariate Wilcoxon rank regression estimate. (2011). Wang, Jin ; Zhou, Weihua.
    In: Statistics & Probability Letters.
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  141. A family of empirical likelihood functions and estimators for the binary response model. (2011). Mittelhammer, Ron ; Judge, George.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:2:p:207-217.

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  142. Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis. (2011). Hallin, Marc ; Dette, Holger ; Kley, Tobias ; Volgushev, Stanislav.
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  143. Nonparametric estimation of conditional medians for linear and related processes. (2010). Honda, Toshio.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:62:y:2010:i:6:p:995-1021.

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  144. Simultaneous estimation and variable selection in median regression using Lasso-type penalty. (2010). Ying, Zhiliang ; Xu, Jinfeng.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:62:y:2010:i:3:p:487-514.

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  145. On Lasso-type estimation for dynamical systems with small noise. (2010). .
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  146. Partial Linear Quantile Regression and Bootstrap Confidence Bands. (2010). Song, Song ; Härdle, Wolfgang ; Ritov, Yaacov ; Hardle, Wolfgang Karl.
    In: SFB 649 Discussion Papers.
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  147. Characterization of the asymptotic distribution of semiparametric M-estimators. (2010). Ichimura, Hidehiko ; Lee, Sokbae.
    In: Post-Print.
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  148. Specification tests of parametric dynamic conditional quantiles. (2010). Escanciano, Carlos J. ; Velasco, Carlos.
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  149. Detection of a change point based on local-likelihood. (2010). Huh, Jib .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:101:y:2010:i:7:p:1681-1700.

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  150. Simultaneous confidence band and hypothesis test in generalised varying-coefficient models. (2010). Peng, Heng ; Zhang, Wenyang.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:101:y:2010:i:7:p:1656-1680.

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  151. Characterization of the asymptotic distribution of semiparametric M-estimators. (2010). Lee, Sokbae (Simon) ; Ichimura, Hidehiko.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:2:p:252-266.

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  152. Specification tests of parametric dynamic conditional quantiles. (2010). Velasco, Carlos ; Escanciano, Juan Carlos.
    In: Journal of Econometrics.
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  153. Robust penalized quantile regression estimation for panel data. (2010). Lamarche, Carlos.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:157:y:2010:i:2:p:396-408.

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  154. Efficient estimation in dynamic conditional quantile models. (2010). Komunjer, Ivana ; Vuong, Quang.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:157:y:2010:i:2:p:272-285.

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  155. Rank tests and regression rank score tests in measurement error models. (2010). Jureckova, Jana ; Saleh, A. K. Md. Ehsanes, ; Picek, Jan .
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  156. Local composite quantile regression smoothing: an efficient and safe alternative to local polynomial regression. (2010). Kai, Bo ; Li, Runze ; Zou, Hui.
    In: Journal of the Royal Statistical Society Series B.
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  157. A Note on Unit Root Tests with Infinite Variance Noise. (2009). D. M. Mahinda Samarakoon, ; Knight, Keith.
    In: Econometric Reviews.
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  158. M-estimation in nonparametric regression under strong dependence and infinite variance. (2009). Zhang, Rongmao ; Chan, Ngai .
    In: Annals of the Institute of Statistical Mathematics.
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  159. Generalized partially linear mixed-effects models incorporating mismeasured covariates. (2009). Liang, Hua.
    In: Annals of the Institute of Statistical Mathematics.
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  160. Infinite Density at the Median and the Typical Shape of Stock Return Distributions. (2009). Phillips, Peter ; Han, Chirok ; Cho, Jin Seo ; Peter C. B. Phillips, .
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  161. Asymptotics of a Theil-type estimate in multiple linear regression. (2009). Shen, Gang.
    In: Statistics & Probability Letters.
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  162. Asymptotics for argmin processes: Convexity arguments. (2009). Kato, Kengo.
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  163. Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes. (2009). Zinde-Walsh, Victoria ; Galbraith, John ; Zernov, Serguei.
    In: Journal of Multivariate Analysis.
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  164. Unit root quantile autoregression testing using covariates. (2009). Galvao, Antonio F..
    In: Journal of Econometrics.
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  165. Quantile cointegrating regression. (2009). Xiao, Zhijie.
    In: Journal of Econometrics.
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  166. Infinite Density at the Median and the Typical Shape of Stock Return Distributions. (2009). Phillips, Peter ; Han, Chirok ; Cho, Jin Seo ; Peter C. B. Phillips, .
    In: Cowles Foundation Discussion Papers.
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  167. Quantile autoregressive distributed lag model with an application to house price returns. (2009). Park, Sung Y. ; Montes-Rojas, Gabriel ; Galvao, A F.
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  168. Quantile Cointegrating Regression. (2009). Xiao, Zhijie.
    In: Boston College Working Papers in Economics.
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  169. Quantile regression for binary performance indicators. (2008). Yu, Keming ; Hewson, Paul.
    In: Applied Stochastic Models in Business and Industry.
    RePEc:wly:apsmbi:v:24:y:2008:i:5:p:401-418.

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  170. On adaptive linear regression. (2008). Maity, Arnab ; Sherman, Michael .
    In: Journal of Applied Statistics.
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  171. -estimation for spatial nonparametric regression. (2008). Xu, Rongrong ; Wang, Jinde.
    In: Journal of Nonparametric Statistics.
    RePEc:taf:gnstxx:v:20:y:2008:i:6:p:523-537.

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  172. Bayesian Averaging, Prediction and Nonnested Model Selection. (2008). Preston, Bruce ; Hong, Han.
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  173. Profile-kernel likelihood inference with diverging number of parameters. (2008). Fan, Jianqing ; Lam, Clifford.
    In: LSE Research Online Documents on Economics.
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  174. Asymptotics of Oja Median Estimate. (2008). Shen, Gang.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:78:y:2008:i:14:p:2137-2141.

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  175. On the Consistency of Approximate Maximizing Estimator Sequences in the Case of Quasiconcave Functions. (2007). Kemp, Gordon.
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  176. The quantilogram: With an application to evaluating directional predictability. (2007). Whang, Yoon-Jae ; LINTON, OLIVER.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:1:p:250-282.

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  177. Characterization of the Asymptotic Distribution of Semiparametric M-Estimators. (2006). Lee, Sokbae (Simon) ; Ichimura, Hidehiko.
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  178. ASYMPTOTICS FOR ESTIMATION OF TRUNCATED INFINITE-DIMENSIONAL QUANTILE REGRESSIONS. (2006). Zinde-Walsh, Victoria ; Galbraith, John ; Zernov, Serguei ; Zindle-Walsh, Victoria.
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  179. Characterization of the asymptotic distribution of semiparametric M-estimators. (2006). Lee, Sokbae (Simon) ; Ichimura, Hidehiko.
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  180. The asymptotic distribution of the unconditional quantile estimator under dependence. (2005). Haupt, Harry ; Oberhofer, Walter .
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  181. Sign tests for long-memory time series. (2005). Velasco, Carlos ; Delgado, Miguel.
    In: Journal of Econometrics.
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  182. Quasi-maximum likelihood estimation for conditional quantiles. (2005). Komunjer, Ivana.
    In: Journal of Econometrics.
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  183. Semiparametric Efficient Estimation of Partially Linear Quantile Regression Models. (2005). Sun, Yiguo.
    In: Annals of Economics and Finance.
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  184. Least absolute deviation estimation of linear econometric models: A literature review. (2004). Mishra, Sudhanshu ; Dasgupta, Madhuchhanda.
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  185. Nonparametric regression under dependent errors with infinite variance. (2004). Peng, Liang ; Yao, Qiwei.
    In: LSE Research Online Documents on Economics.
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  186. A Quantilogram Approach to Evaluating Directional Predictability. (2004). Whang, Yoon-Jae ; LINTON, OLIVER.
    In: Cowles Foundation Discussion Papers.
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  187. Statistical Tests for Lyapunov Exponents of Deterministic Systems. (2004). Tong, Howell ; Wolff, Rodney ; Yao, Qiwei.
    In: Studies in Nonlinear Dynamics & Econometrics.
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