Local composite quantile regression smoothing for Harris recurrent Markov processes

DOI10.1016/j.jeconom.2016.04.002zbMath1431.62397OpenAlexW3124849521WikidataQ39352165 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 selectionasymptotic theorycomposite quantile regressionlocal polynomial smoothingHarris recurrent Markov process\(\beta\)-null recurrence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items

Modification of the adaptive Nadaraya-Watson kernel method for nonparametric regression (simulation study), Nonparametric inference for quantile cointegrations with stationary covariates, Estimation of the bandwidth parameter in Nadaraya-Watson kernel non-parametric regression based on universal threshold level, Nonparametric and Semiparametric Quantile Regression via a New MM Algorithm, Robust nonlinear regression estimation in null recurrent time series, Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition, Advanced algorithms for penalized quantile and composite quantile regression, Computation and application of robust data-driven bandwidth selection for gradient function estimation

Uses Software

• SemiPar

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