A Smoothed GMM for Dynamic Quantile Preferences Estimation
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2026
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| _version_ | 1866917228493930496 |
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| author | Liu, Xin de Castro, Luciano Galvao, Antonio F. |
| author_facet | Liu, Xin de Castro, Luciano Galvao, Antonio F. |
| contents | This paper suggests methods for estimation of the $τ$-quantile, $τ\in(0,1)$, as a parameter along with the other finite-dimensional parameters identified by general conditional quantile restrictions. We employ a generalized method of moments framework allowing for non-linearities and dependent data, where moment functions are smoothed to aid both computation and tractability. Consistency and asymptotic normality of the estimators are established under weak assumptions. Simulations illustrate the finite-sample properties of the methods. An empirical application using a quantile intertemporal consumption model with multiple assets estimates the risk attitude, which is captured by $τ$, together with the elasticity of intertemporal substitution. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_20853 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | A Smoothed GMM for Dynamic Quantile Preferences Estimation Liu, Xin de Castro, Luciano Galvao, Antonio F. General Economics Economics This paper suggests methods for estimation of the $τ$-quantile, $τ\in(0,1)$, as a parameter along with the other finite-dimensional parameters identified by general conditional quantile restrictions. We employ a generalized method of moments framework allowing for non-linearities and dependent data, where moment functions are smoothed to aid both computation and tractability. Consistency and asymptotic normality of the estimators are established under weak assumptions. Simulations illustrate the finite-sample properties of the methods. An empirical application using a quantile intertemporal consumption model with multiple assets estimates the risk attitude, which is captured by $τ$, together with the elasticity of intertemporal substitution. |
| title | A Smoothed GMM for Dynamic Quantile Preferences Estimation |
| topic | General Economics Economics |
| url | https://arxiv.org/abs/2601.20853 |