Nonparametric inference for quantile cointegrations with stationary covariates

DOI10.1016/J.JECONOM.2021.06.002MaRDI QIDQ2172016zbMATH OpenOpenAlexFDO

Authors Yundong Tu, Han-Ying Liang, Qiying Wang

Publication date 14 September 2022

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.06.002

zbMATH Keywords

nonparametric methodsnonstationaritypredictive regressionmodel specification testingquantile cointegration

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

(4)

• Functional-coefficient quantile cointegrating regression with stationary covariates
• Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity
• Penetrating sporadic return predictability
• A simple quantile regression model linking micro outcomes to macro covariates

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