{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,21]],"date-time":"2026-07-21T05:18:59Z","timestamp":1784611139937,"version":"3.55.0"},"reference-count":18,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2009,10,1]],"date-time":"2009-10-01T00:00:00Z","timestamp":1254355200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2009,10]]},"abstract":"<jats:p>We propose an efficient semiparametric estimator for the coefficients of a multivariate linear regression model\u2014with a conditional quantile restriction for each equation\u2014in which the conditional distributions of errors given regressors are unknown. The procedure can be used to estimate multiple conditional quantiles of the same regression relationship. The proposed estimator is asymptotically as efficient as if the true optimal instruments were known. Simulation results suggest that the estimation procedure works well in practice and dominates an equation-by-equation efficiency correction if the errors are dependent conditional on the regressors.<\/jats:p>","DOI":"10.1017\/s0266466609090549","type":"journal-article","created":{"date-parts":[[2009,6,3]],"date-time":"2009-06-03T04:24:27Z","timestamp":1244003067000},"page":"1392-1414","source":"Crossref","is-referenced-by-count":21,"title":["EFFICIENT SEMIPARAMETRIC SEEMINGLY UNRELATED QUANTILE REGRESSION ESTIMATION"],"prefix":"10.1017","volume":"25","author":[{"given":"Sung Jae","family":"Jun","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Joris","family":"Pinkse","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,10,1]]},"reference":[{"key":"S0266466609090549_ref17","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466606060087"},{"key":"S0266466609090549_ref16","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-2545-2"},{"key":"S0266466609090549_ref14","doi-asserted-by":"publisher","DOI":"10.2307\/1911033"},{"key":"S0266466609090549_ref12","doi-asserted-by":"publisher","DOI":"10.2307\/1913622"},{"key":"S0266466609090549_ref10","first-page":"419","volume-title":"Handbook of Statistics","volume":"11","author":"Newey","year":"1993"},{"key":"S0266466609090549_ref8","unstructured":"Komunjer I. & Vuong Q. (2006) Efficient Conditional Quantile Estimation: The Time Series Case. Working paper, University of California, San Diego."},{"key":"S0266466609090549_ref1","doi-asserted-by":"publisher","DOI":"10.1017\/S0370164600014346"},{"key":"S0266466609090549_ref11","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600005284"},{"key":"S0266466609090549_ref18","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466601174050"},{"key":"S0266466609090549_ref13","unstructured":"Pinkse J . (2006) Heteroskedasticity Correction and Dimension reduction. Working paper, Pennsylvania State University."},{"key":"S0266466609090549_ref2","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176345987"},{"key":"S0266466609090549_ref7","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"S0266466609090549_ref15","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176343886"},{"key":"S0266466609090549_ref4","doi-asserted-by":"publisher","DOI":"10.1093\/0198774036.001.0001"},{"key":"S0266466609090549_ref3","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(87)90015-7"},{"key":"S0266466609090549_ref9","doi-asserted-by":"publisher","DOI":"10.2307\/2938351"},{"key":"S0266466609090549_ref5","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600012767"},{"key":"S0266466609090549_ref6","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511754098"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466609090549","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,8]],"date-time":"2019-04-08T15:54:58Z","timestamp":1554738898000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466609090549\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2009,10]]},"references-count":18,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2009,10]]}},"alternative-id":["S0266466609090549"],"URL":"https:\/\/doi.org\/10.1017\/s0266466609090549","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2009,10]]}}}