Nonparametric inference for quantile cointegrations with stationary covariates

DOI10.1016/J.JECONOM.2021.06.002OpenAlexW3174500315MaRDI QIDQ2172016FDOQ2172016

Qiying Wang, Han-Ying Liang, Yundong Tu

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

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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 (1)

• Penetrating sporadic return predictability

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