Predictive quantile regression with persistent covariates: IVX-QR approach
From MaRDI portal
Publication:5964753
DOI10.1016/j.jeconom.2015.04.003zbMath1419.62514MaRDI QIDQ5964753
Publication date: 1 March 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/65150/1/MPRA_paper_65150.pdf
62P20: Applications of statistics to economics
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G32: Statistics of extreme values; tail inference
Related Items
QUANTILOGRAMS UNDER STRONG DEPENDENCE, Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model, COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS, Penetrating sporadic return predictability, Extensions to IVX methods of inference for return predictability, Transformed regression-based long-horizon predictability tests, Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach, Robust inference with stochastic local unit root regressors in predictive regressions, Quantile cointegration in the autoregressive distributed-lag modeling framework, Robust econometric inference with mixed integrated and mildly explosive regressors, A perspective on recent methods on testing predictability of asset returns, Residual-augmented IVX predictive regression, On LASSO for predictive regression, Nonparametric inference for quantile cointegrations with stationary covariates, Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects, Predictive quantile regressions under persistence and conditional heteroskedasticity, On the serial correlation in multi-horizon predictive quantile regression, Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions, A new robust inference for predictive quantile regression
Uses Software
Cites Work
- Unnamed Item
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Limit theory for moderate deviations from a unit root
- Robust econometric inference with mixed integrated and mildly explosive regressors
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- The quantilogram: with an application to evaluating directional predictability
- Quantile cointegrating regression
- The extremogram: a correlogram for extreme events
- Asymptotics for linear processes
- Extremal quantile regression
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
- Simulation and the Asymptotics of Optimization Estimators
- Towards a unified asymptotic theory for autoregression
- One-Step Huber Estimates in the Linear Model
- Regression Quantiles
- On Confidence Intervals for Autoregressive Roots and Predictive Regression
- Fully Modified Least Squares and Vector Autoregression
- Uniform Inference in Autoregressive Models