This note proposes a non-linear GMM quantile regression model to estimate the quantile as anadditional 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.
PDF
Co-authors: Antonio F. Galvao and Gabriel Montes-Rojas
Abstract:
This note proposes a non-linear GMM quantile regression model to estimate the quantile as anadditional 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.
JEL classification:
C31, C32, C36, E21
Keywords:
Quantile regression, Instrumental variables, Quantile preferences, Elasticity of intertemporal substitution, Risk attitude
Citation:
de Castro, L., Galvao, A. F., Montes-Rojas, G. (2020): “Quantile selection in non-linear GMM quantile models”, Economics Letters, 195, article 109402, p. 1-4.