The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE

DOI10.1080/07474938.2021.1899505zbMath1490.62474OpenAlexW3138371008MaRDI QIDQ5862513

Collin S. Philipps

Publication date: 9 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2021.1899505

zbMATH Keywords

maximum likelihood estimationexpectile regressionasymmetric normal distributiongeneralized quantile regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

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