Nonlinear quantile regression under dependence and heterogeneity

URN to cite this document:: urn:nbn:de:bvb:355-opus-4790
DOI to cite this document:: 10.5283/epub.4505

Oberhofer, Walter ; Haupt, Harry

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Date of publication of this fulltext: 11 Mar 2005 13:47

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Abstract

This paper derives the asymptotic normality of the nonlinear quantile regression estimator with dependent errors. The required assumptions are weak, and it is neither assumed that the error process is stationary nor that it is mixing. In fact, the notion of weak dependence introduced in this paper, can be considered as a quantile specific local variant of known concepts. The connection of the ...