Predictive quantile regression with persistent covariates: IVX-QR approach

DOI10.1016/j.jeconom.2015.04.003zbMath1419.62514MaRDI QIDQ5964753

Ji Hyung Lee

Publication date: 1 March 2016

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/65150/1/MPRA_paper_65150.pdf

zbMATH Keywords

quantile regression; IVX filtering; local to unity; multivariate predictors; predictive regression

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G08: Nonparametric regression and quantile regression

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

62G32: Statistics of extreme values; tail inference

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Uses Software

• quantilogram

Cites Work

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