Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form

DOI10.1111/J.1368-423X.2009.00285.XzbMATH Open1182.62097OpenAlexW2000956261MaRDI QIDQ3406052FDOQ3406052

Authors: Elise Coudin, Jean-Marie Dufour 

Publication date: 12 February 2010

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2009.00285.x

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zbMATH Keywords

bootstrapheteroscedasticityquantile regressionGARCHmedian regressionMonte Carlo testsignssimultaneous inferencedistribution-freestochastic volatilityserial dependenceprojection methodsnon-normalitysign testdiscrete distribution

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Monte Carlo methods (65C05) Nonparametric tolerance and confidence regions (62G15) Statistical methods; economic indices and measures (91B82)

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Cited In (12)

• Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form
• Impossible inference in econometrics: theory and applications
• Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
• A robust test for monotonicity in asset returns
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• Finite-sample exact tests for linear regressions with bounded dependent variables
• Volatility regressions with fat tails
• On sign-based regression quantiles
• Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
• Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
• A class of simple distribution-free rank-based unit root tests
• Memoryless sequences for general losses

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