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Quantilograms under Strong Dependence

Author

Listed:
  • Lee, L.
  • Linton, O.
  • Whang, Y-J.

Abstract

We develop the limit theory of the quantilogram and cross-quantilogram under long memory. We establish the sub-root-n central limit theorems for quantilograms that depend on nuisance parameters. We propose a moving block bootstrap (MBB) procedure for inference and we establish its consistency thereby enabling a consistent confidence interval construction for the quantilograms. The newly developed reduction principles for the quantilograms serve as the main technical devices used to derive the asymptotics and establish the validity of MBB. We report some simulation evidence that our methods work satisfactorily. We apply our method to quantile predictive relations between financial returns and long-memory predictors.

Suggested Citation

  • Lee, L. & Linton, O. & Whang, Y-J., 0000. "Quantilograms under Strong Dependence," Cambridge Working Papers in Economics 1936, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:1936
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    References listed on IDEAS

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    More about this item

    Keywords

    Long Memory; Moving Block Bootstrap; Nonlinear Dependence; Quantilogram and Cross-Quantilgoram; Reduction Principle;
    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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