Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form

DOI10.1111/J.1368-423X.2009.00285.XzbMath1182.62097OpenAlexW2000956261MaRDI QIDQ3406052

Elise Coudin, Jean-Marie Dufour

Publication date: 12 February 2010

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2009.00285.x

zbMATH Keywords

bootstrapsignsdistribution-freestochastic volatilityheteroscedasticityquantile regressionGARCHprojection methodssign testnon-normalitysimultaneous inferenceMonte Carlo testserial dependencediscrete distributionmedian regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Nonparametric tolerance and confidence regions (62G15) Monte Carlo methods (65C05) Statistical methods; economic indices and measures (91B82)

Related Items (10)

Unnamed Item ⋮ Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations ⋮ Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form ⋮ Finite-sample exact tests for linear regressions with bounded dependent variables ⋮ Impossible inference in econometrics: theory and applications ⋮ Volatility regressions with fat tails ⋮ Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects ⋮ A class of simple distribution-free rank-based unit root tests ⋮ On sign-based regression quantiles ⋮ Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors

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