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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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Abstract

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 ...

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

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