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Asymptotic theory for nonlinear quantile regression under weak dependence

Oberhofer, Walter and Haupt, Harald (2014) Asymptotic theory for nonlinear quantile regression under weak dependence. Econometric Theory. (Submitted)

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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.

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Item Type:Article
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig)
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:No, this version has not been refereed yet (as with preprints)
Created at the University of Regensburg:Yes
Deposited On:17 Oct 2006
Last Modified:09 May 2014 11:45
Item ID:409
Owner Only: item control page


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