REGRESSION QUANTILES FOR TIME SERIES
نویسندگان
چکیده
منابع مشابه
Regression Quantiles for Time Series
In this article we study nonparametric estimation of regression quantiles by inverting a weighted Nadaraya-Watson estimator (WNW) of conditional distribution function, which was rst used by Hall, Woll and Yao (1999). First, under some regularity conditions, we establish the asymptotic normality and weak consistency of the WNW conditional distribution estimator for-mixing time series at both bou...
متن کاملStructural Change Detection for Regression Quantiles under Time Series Non-stationarity
We consider quantile structural change testing for linear models with random designs and a wide class of non-stationary regressors and errors. New uniform Bahadur representations are established with nearly optimal approximation rates. Two cusum-type test statistics, one based on the regression coefficients and the other based on the gradient vectors are considered. Two of the most frequently u...
متن کاملRegression Quantiles
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متن کاملConndence Intervals for Regression Quantiles
Several methods to construct conndence intervals for regression quan-tile estimators (Koenker and Bassett (1978)) are reviewed. Direct estimation of the asymptotic covariance matrix requires an estimate of the reciprocal of the error density (sparsity function) at the quantile of interest; some recent work on bandwidth selection for this problem will be discussed. Several versions of the bootst...
متن کامل@bullet Regression Quantiles in Nonparahetric Regression @bullet Regression Quantiles in Nonparametric Regression
In a nonparametric setup involving stochastic regressors. regression quantiles relate to the so called conditional quantile functions. Various asymptotic properties of such conditional quantile processes are studied with due emphasis on the underlying design aspects.
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2002
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466602181096