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Asymptotic theory for nonlinear quantile regression under weak dependence
Article
Oberhofer, Walter and Haupt, Harald (2014) Asymptotic theory for nonlinear quantile regression under weak dependence. Econometric Theory. (Submitted)DOI to cite this document: 10.5283/epub.409
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 estimation.
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Details
| Item type | Article |
| Journal or Publication Title | Econometric Theory |
| Date | 2014 |
| Date of publication | 05 Aug 2009 13:23 |
| 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 |
| Status | Submitted |
| Refereed | No, this version has not been refereed yet (as with preprints) |
| Created at the University of Regensburg | Yes |
| URN of the UB Regensburg | urn:nbn:de:bvb:355-epub-4093 |
| Item ID | 409 |
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