Inference in predictive quantile regressions

DOI10.1016/J.JECONOM.2024.105875MaRDI QIDQ6664664zbMATH OpenFDO

Authors Alex Maynard, Katsumi Shimotsu, Nina Kuriyama

Publication date 16 January 2025

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105875

zbMATH Keywords

Bonferroni methodlocal-to-unitypredictabilityquantile regressionstock return

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(1)

• Predictive quantile regressions with persistent and heteroskedastic predictors: a powerful 2SLS testing approach

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