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Nonlinear quantile regression under dependence and heterogeneity

Oberhofer, Walter and Haupt, Harry (2003) Nonlinear quantile regression under dependence and heterogeneity. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 388, Working Paper.

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

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Other URL: http://www.opus-bayern.de/uni-regensburg/volltexte/2005/479


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 ...

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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:2003
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Identification Number:
ValueType
urn:nbn:de:bvb:355-opus-4790URN
RePEc:bay:rdwiwi:479RePEc Handle
Classification:
NotationType
C22Journal of Economics Literature Classification
Keywords:Quantil , Nichtlineares Regressionsmodell , Asymptotik, , Quantile regression , nonlinear regression , asymptotics
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Yes
Item ID:4505
Owner only: item control page

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