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What is Joint Estimation of Conditional Quantiles about?

1. The document proposes a new parametric method for jointly estimating multiple conditional quantiles without crossing. It models quantiles as a base quantile plus or minus sums of non-negative spacing functions, ensuring monotonicity. 2. The method can be estimated efficiently by recursively running linear quantile regressions. It extends location-scale models to allow varying higher moments and is a natural non-linear extension of linear quantile regression. 3. The document establishes consistency and

Author

Felipe Troncoso

Language

EN