Local composite quantile regression smoothing for Harris recurrent Markov processes

DOI10.1016/j.jeconom.2016.04.002zbMath1431.62397WikidataQ39352165 ScholiaQ39352165MaRDI QIDQ2630348

Degui Li, Run-Ze Li

Publication date: 27 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.04.002

zbMATH Keywords

bandwidth selection; asymptotic theory; composite quantile regression; local polynomial smoothing; Harris recurrent Markov process; \(\beta\)-null recurrence

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G08: Nonparametric regression and quantile regression

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

Uses Software

• SemiPar