A new robust inference for predictive quantile regression
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DOI: 10.1016/j.jeconom.2021.10.012
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Cited by:
- Tu, Yundong & Xie, Xinling, 2023. "Penetrating sporadic return predictability," Journal of Econometrics, Elsevier, vol. 237(1).
- Maynard, Alex & Shimotsu, Katsumi & Kuriyama, Nina, 2024. "Inference in predictive quantile regressions," Journal of Econometrics, Elsevier, vol. 245(1).
- Christis Katsouris, 2023. "Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models," Papers 2311.08218, arXiv.org, revised Apr 2024.
- Maynard, Alex & Shimotsu, Katsumi & Kuriyama, Nina, 2024.
"Inference in predictive quantile regressions,"
Journal of Econometrics, Elsevier, vol. 245(1).
- Alex Maynard & Katsumi Shimotsu & Nina Kuriyama, 2023. "Inference in Predictive Quantile Regressions," Papers 2306.00296, arXiv.org, revised May 2024.
- Yannick Hoga, 2024. "Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions," Papers 2410.05861, arXiv.org.
- Zhan Gao & Ji Hyung Lee & Ziwei Mei & Zhentao Shi, 2024. "Econometric Inference for High Dimensional Predictive Regressions," Papers 2409.10030, arXiv.org, revised Nov 2024.
- Xiaosai Liao & Xinjue Li & Qingliang Fan, 2024. "Robust Bond Risk Premia Predictability Test in the Quantiles," Papers 2410.03557, arXiv.org.
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More about this item
Keywords
Auxiliary regressor; Embedded endogeneity; Highly persistent predictor; Multiple regression; Predictive quantile regression; Robust; Weighted estimator;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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