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- Mon Feb 10, 2014 3:30 pm
- Forum: Estimation
- Topic: System of quantile regressions
- Replies: 0
- Views: 1274
System of quantile regressions
For an asset pricing paper, I am trying to apply the quantile regression approach to a series of 5 asset pricing equations. I want to specify them together to be able to compare the alpha's from the different specifications using Wald Tests. Is there any way to do this with quantile regressions? Tha...