Oberhofer, Walter and Haupt, Harry (2016) ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE. ECONOMETRIC THEORY, 32 (3). pp. 686-713. ISSN 0266-4666, 1469-4360
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This paper studies the asymptotic properties of the nonlinear quantile regression model under general assumptions on the error process, which is allowed to be heterogeneous and mixing. We derive the consistency and asymptotic normality of regression quantiles under mild assumptions. First-order asymptotic theory is completed by a discussion of consistent covariance estimation.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | FIXED-DESIGN REGRESSION; TIME-SERIES; CONDITIONAL QUANTILES; LINEAR-REGRESSION; ECONOMETRIC-MODELS; COVARIANCE-MATRIX; LARGE NUMBERS; UNIFORM LAW; CONSISTENCY; ESTIMATORS; |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie Business, Economics and Information Systems > Entpflichtete oder im Ruhestand befindliche Professoren |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 22 Mar 2019 09:51 |
| Last Modified: | 22 Mar 2019 09:51 |
| URI: | https://pred.uni-regensburg.de/id/eprint/2853 |
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