Nonparametric inference for quantile cointegrations with stationary covariates
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DOI: 10.1016/j.jeconom.2021.06.002
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Cited by:
- Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
- Tu, Yundong & Xie, Xinling, 2023. "Penetrating sporadic return predictability," Journal of Econometrics, Elsevier, vol. 237(1).
- Chaohua Dong & Jiti Gao & Yundong Tu & Bin Peng, 2023.
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2301.06631, arXiv.org.
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2023. "Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models," Monash Econometrics and Business Statistics Working Papers 2/23, Monash University, Department of Econometrics and Business Statistics.
- Haiqi Li Author-Name-First: Haiqi & Jing Zhang & Chaowen Zheng, 2023. "Estimating and Testing for Functional Coefficient Quantile Cointegrating Regression," Economics Discussion Papers em-dp2023-07, Department of Economics, University of Reading.
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More about this item
Keywords
Model specification testing; Nonparametric methods; Nonstationarity; Predictive regression; Quantile cointegration;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- 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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