Fetching the paper…
Reading the bibliography…
We characterize the full classes of M-estimators for semiparametric models of general functionals by formally connecting the theory of consistent loss functions from forecast evaluation with the theory of M-estimation.
Testing forecast rationality for measures of central tendency
Dimitriadis, T., Patton, A. J., and Schmidt, P. W. (2021c) · 1910
Earlier work this paper cites.
The behavior of maximum likelihood estimates under nonstandard conditions
Huber, P. J. (1967) · 1967
Earlier work this paper cites.
Identification in parametric models
Rothenberg, T. J. (1971) · 1971
Earlier work this paper cites.
Regression quantiles
Koenker, R. and Bassett, G. (1978) · 1978
Earlier work this paper cites.
Large sample properties of generalized method of moments estimators
Hansen, L. P. (1982) · 1982
Earlier work this paper cites.
The identification problem in systems nonlinear in the variables
Brown, B. W. (1983) · 1983
Earlier work this paper cites.
Forecast evaluation
Murphy, A. H. and Daan, H. (1985) · 1985
Earlier work this paper cites.
Maximum likelihood specification testing and conditional moment tests
Newey, W. K. (1985) · 1985
Earlier work this paper cites.
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · 1986
Earlier work this paper cites.
Asymptotic efficiency in estimation with conditional moment restrictions
Chamberlain, G. (1987) · 1987
Earlier work this paper cites.
Consistent M-estimators in a semi-parametric model
Gourieroux, C., Monfort, A., and Renault, E. (1987) · 1987
Cited alongside, same era.
Conditions for identification in nonparametric and parametric models
Roehrig, C. S. (1988) · 1988
Cited alongside, same era.
A consistent conditional moment test of functional form
Bierens, H. J. (1990) · 1990
Cited alongside, same era.
Semiparametric efficiency bounds
Newey, W. K. (1990) · 1990
Cited alongside, same era.
Efficient estimation of models with conditional moment restrictions
Newey, W. K. (1993) · 1993
Cited alongside, same era.
Large sample estimation and hypothesis testing
Newey, W. K. and McFadden, D. (1994) · 1994
Cited alongside, same era.
Global identification in nonlinear models with moment restrictions
Komunjer, I. (2012) · 2012
Later among the works it cites.
Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings
Ehm, W., Gneiting, T., Jordan, A., and Krüger, F. (2016) · 2016
Later among the works it cites.
Higher order elicitability and Osband’s principle
Fissler, T. and Ziegel, J. F. (2016) · 2016
Later among the works it cites.
Elicitability and backtesting: Perspectives for banking regulation
Nolde, N. and Ziegel, J. F. (2017) · 2017
Later among the works it cites.
A joint quantile and expected shortfall regression framework
Dimitriadis, T. and Bayer, S. (2019) · 2019
Later among the works it cites.
Order-sensitivity and equivariance of scoring functions
Fissler, T. and Ziegel, J. F. (2019) · 2019
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Quasi-maximum likelihood estimation for conditional quantiles
Komunjer, I. (2005) · 2005
Cited alongside, same era.
Strictly proper scoring rules, prediction, and estimation
Gneiting, T. and Raftery, A. (2007) · 2007
Cited alongside, same era.
Dimitriadis, T., Fissler, T., and Ziegel, J. F. (2021a) · 2010
Cited alongside, same era.
Regression towards the mode
Kemp, G. C. and Silva, J. S. (2012) · 2012
Cited alongside, same era.
Stable reliability diagrams for probabilistic classifiers
Dimitriadis, T., Gneiting, T., and Jordan, A. I. (2021b)
Cited in the paper.
Making and evaluating point forecasts
Gneiting, T. (2011a)
Cited in the paper.
Later among the works it cites.
Dynamic semiparametric models for expected shortfall (and value-at-risk)
Patton, A. J., Ziegel, J. F., and Chen, R. (2019) · 2019
Later among the works it cites.
Efficiently weighted estimation of tail and interquartile expectations
Barendse, S. (2022) · 2022
Closest in time.
Osband’s principle for identification functions
Dimitriadis, T., Fissler, T., and Ziegel, J. (2022) · 2022
Closest in time.
Elicitation of personal probabilities and expectations
Savage, L. J. (1971) · 2026
Closest in time.