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Asymptotic theory for nonlinear quantile regression under weak dependence

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Oberhofer, Walter ; Haupt, Harald
Date of publication of this fulltext: 05 Aug 2009 13:23


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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