Predictive quantile regression with persistent covariates: IVX-QR approach
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DOI: 10.1016/j.jeconom.2015.04.003
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- Lee, JiHyung, 2015. "Predictive quantile regression with persistent covariates: IVX-QR approach," MPRA Paper 65150, University Library of Munich, Germany.
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More about this item
Keywords
IVX filtering; Local to unity; Multivariate predictors; Predictive regression; Quantile regression;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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