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Conditional quantile processes based on series or many regressors

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Cited by:

  1. Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2013. "On the asymptotic theory for least squares series: pointwise and uniform results," CeMMAP working papers CWP73/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Dimitrios Panagiotou, 2021. "Re-examining the leverage effect and gold’s safe haven properties with the utilization of the implied volatility of gold: a non-parametric quantile regression approach," SN Business & Economics, Springer, vol. 1(7), pages 1-18, July.
  3. Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2024. "Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1026-1040, July.
  4. Alexandre Belloni & Victor Chernozhukov & Kengo Kato, 2019. "Valid Post-Selection Inference in High-Dimensional Approximately Sparse Quantile Regression Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 749-758, April.
  5. Zheng Fang & Juwon Seo, 2021. "A Projection Framework for Testing Shape Restrictions That Form Convex Cones," Econometrica, Econometric Society, vol. 89(5), pages 2439-2458, September.
  6. Chao, Shih-Kang & Härdle, Wolfgang K. & Yuan, Ming, 2021. "Factorisable Multitask Quantile Regression," Econometric Theory, Cambridge University Press, vol. 37(4), pages 794-816, August.
  7. Charlier, Isabelle & Paindaveine, Davy & Saracco, Jérôme, 2015. "Conditional quantile estimation based on optimal quantization: From theory to practice," Computational Statistics & Data Analysis, Elsevier, vol. 91(C), pages 20-39.
  8. Chernozhukov, Victor & Fernández-Val, Iván & Hoderlein, Stefan & Holzmann, Hajo & Newey, Whitney, 2015. "Nonparametric identification in panels using quantiles," Journal of Econometrics, Elsevier, vol. 188(2), pages 378-392.
  9. Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Kato, Kengo, 2015. "Some new asymptotic theory for least squares series: Pointwise and uniform results," Journal of Econometrics, Elsevier, vol. 186(2), pages 345-366.
  10. Mehmet Balcilar & Elie Bouri & Rangan Gupta & Christian Pierdzioch, 2021. "El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements," Sustainability, MDPI, vol. 13(14), pages 1-23, July.
  11. Alexandre Belloni & Mingli Chen & Victor Chernozhukov, 2016. "Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk," Papers 1607.00286, arXiv.org, revised Oct 2019.
  12. Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2012. "Gaussian approximation of suprema of empirical processes," CeMMAP working papers CWP44/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  13. Alexandre Belloni & Victor Chernozhukov, 2009. "L1-Penalized Quantile Regression in High-Dimensional Sparse Models," Papers 0904.2931, arXiv.org, revised Sep 2019.
  14. Rangan Gupta & Syed Jawad Hussain Shahzad & Xin Sheng & Sowmya Subramaniam, 2023. "The role of oil and risk shocks in the high‐frequency movements of the term structure of interest rates: Evidence from the U.S. Treasury market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1845-1857, April.
  15. Manuel Arellano & Stéphane Bonhomme, 2017. "Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models," Annual Review of Economics, Annual Reviews, vol. 9(1), pages 471-496, September.
  16. Rosen, Adam M., 2012. "Set identification via quantile restrictions in short panels," Journal of Econometrics, Elsevier, vol. 166(1), pages 127-137.
  17. Massimiliano Caporin & Petre Caraiani & Oguzhan Cepni & Rangan Gupta, 2024. "Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks," Working Papers 202407, University of Pretoria, Department of Economics.
  18. Ferreira, Francisco H. G. & Firpo, Sergio & Galvao, Antonio F., 2017. "Estimation and Inference for Actual and Counterfactual Growth Incidence Curves," IZA Discussion Papers 10473, Institute of Labor Economics (IZA).
  19. Manuel Arellano & Richard Blundell & Stéphane Bonhomme, 2017. "Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework," Econometrica, Econometric Society, vol. 85, pages 693-734, May.
  20. Bonaccolto, G. & Caporin, M. & Gupta, R., 2018. "The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 446-469.
  21. Cattaneo, Matias D. & Jansson, Michael & Ma, Xinwei, 2024. "Local regression distribution estimators," Journal of Econometrics, Elsevier, vol. 240(2).
  22. Hao, Meiling & Lin, Yuanyuan & Shen, Guohao & Su, Wen, 2023. "Nonparametric inference on smoothed quantile regression process," Computational Statistics & Data Analysis, Elsevier, vol. 179(C).
  23. Victor Chernozhukov & Iván Fernández-Val & Blaise Melly & Kaspar Wüthrich, 2020. "Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(529), pages 123-137, January.
  24. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2024. "On Binscatter," American Economic Review, American Economic Association, vol. 114(5), pages 1488-1514, May.
  25. Arun Chandrasekhar & Victor Chernozhukov & Francesca Molinari & Paul Schrimpf, 2012. "Inference for best linear approximations to set identified functions," CeMMAP working papers 43/12, Institute for Fiscal Studies.
  26. Gimenes, Nathalie & Guerre, Emmanuel, 2022. "Quantile regression methods for first-price auctions," Journal of Econometrics, Elsevier, vol. 226(2), pages 224-247.
  27. Lin, Fangzheng & Tang, Yanlin & Zhu, Zhongyi, 2020. "Weighted quantile regression in varying-coefficient model with longitudinal data," Computational Statistics & Data Analysis, Elsevier, vol. 145(C).
  28. Grigory Franguridi & Bulat Gafarov & Kaspar Wüthrich, 2021. "Conditional Quantile Estimators: A Small Sample Theory," CESifo Working Paper Series 9046, CESifo.
  29. Antonio F. Galvao & Thomas Parker & Zhijie Xiao, 2024. "Bootstrap Inference for Panel Data Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 628-639, April.
  30. Alexandre Belloni & Victor Chernozhukov & Kengo Kato, 2013. "Uniform post selection inference for LAD regression and other z-estimation problems," CeMMAP working papers CWP74/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  31. Manuel Arellano & Stéphane Bonhomme, 2016. "Nonlinear panel data estimation via quantile regressions," Econometrics Journal, Royal Economic Society, vol. 19(3), pages 61-94, October.
  32. Rangan Gupta & Syed Jawad Hussain Shahzad & Xin Sheng & Sowmya Subramaniam, 2020. "The Role of Oil and Risk Shocks in the High-Frequency Movements of the Term Structure of Interest Rates of the United States," Working Papers 202063, University of Pretoria, Department of Economics.
  33. Qu, Zhongjun & Yoon, Jungmo, 2015. "Nonparametric estimation and inference on conditional quantile processes," Journal of Econometrics, Elsevier, vol. 185(1), pages 1-19.
  34. Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Fernández-Val, Iván, 2019. "Conditional quantile processes based on series or many regressors," Journal of Econometrics, Elsevier, vol. 213(1), pages 4-29.
  35. Matias D. Cattaneo & Yingjie Feng & Rocio Titiunik, 2021. "Prediction Intervals for Synthetic Control Methods," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(536), pages 1865-1880, October.
  36. Zheng Fang & Andres Santos & Azeem M. Shaikh & Alexander Torgovitsky, 2023. "Inference for Large‐Scale Linear Systems With Known Coefficients," Econometrica, Econometric Society, vol. 91(1), pages 299-327, January.
  37. Zheng Fang, 2021. "A Unifying Framework for Testing Shape Restrictions," Papers 2107.12494, arXiv.org, revised Aug 2021.
  38. Elie Bouri & Rangan Gupta & Clement Kweku Kyei & Sowmya Subramaniam, 2020. "High-Frequency Movements of the Term Structure of Interest Rates of the United States: The Role of Oil Market Uncertainty," Working Papers 202085, University of Pretoria, Department of Economics.
  39. Vira Semenova, 2020. "Generalized Lee Bounds," Papers 2008.12720, arXiv.org, revised Feb 2023.
  40. Matias D. Cattaneo & Ricardo P. Masini & William G. Underwood, 2022. "Yurinskii's Coupling for Martingales," Papers 2210.00362, arXiv.org, revised Sep 2024.
  41. Shujie Ma & Oliver Linton & Jiti Gao, 2018. "Estimation in semiparametric quantile factor models," CeMMAP working papers CWP07/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  42. R H Spady & S Stouli, 2018. "Dual regression," Biometrika, Biometrika Trust, vol. 105(1), pages 1-18.
  43. Chen, Xirong & Li, Degui & Li, Qi & Li, Zheng, 2019. "Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates," Journal of Econometrics, Elsevier, vol. 212(2), pages 433-450.
  44. Zhipeng Liao & Xiaoxia Shi, 2020. "A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models," Quantitative Economics, Econometric Society, vol. 11(3), pages 983-1017, July.
  45. Torossian, Léonard & Picheny, Victor & Faivre, Robert & Garivier, Aurélien, 2020. "A review on quantile regression for stochastic computer experiments," Reliability Engineering and System Safety, Elsevier, vol. 201(C).
  46. Ilias Chronopoulos & Aristeidis Raftapostolos & George Kapetanios, 2024. "Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 636-669.
  47. Arun Chandrasekhar & Victor Chernozhukov & Francesca Molinari & Paul Schrimpf, 2019. "Best linear approximations to set identified functions: with an application to the gender wage gap," CeMMAP working papers CWP09/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  48. Alexandre Belloni & Victor Chernozhukov & Kengo Kato, 2013. "Robust inference in high-dimensional approximately sparse quantile regression models," CeMMAP working papers 70/13, Institute for Fiscal Studies.
  49. Xi Chen & Victor Chernozhukov & Iv'an Fern'andez-Val & Scott Kostyshak & Ye Luo, 2018. "Shape-Enforcing Operators for Point and Interval Estimators," Papers 1809.01038, arXiv.org, revised Feb 2021.
  50. Alexandre Belloni & Victor Chernozhukov & Kengo Kato, 2013. "Uniform post selection inference for LAD regression models," CeMMAP working papers CWP24/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  51. Feng, Xingdong & Liu, Qiaochu & Wang, Caixing, 2023. "A lack-of-fit test for quantile regression process models," Statistics & Probability Letters, Elsevier, vol. 192(C).
  52. Tengyuan Liang, 2022. "Universal prediction band via semi‐definite programming," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(4), pages 1558-1580, September.
  53. Rangan Gupta & Damien Moodley, 2023. "Housing Search Activity and Quantiles-Based Predictability of Housing Price Movements in the United States," Working Papers 202335, University of Pretoria, Department of Economics.
  54. Mehmet Balcilar & Seyi Saint Akadiri & Rangan Gupta & Stephen M. Miller, 2019. "Partisan Conflict and Income Inequality in the United States: A Nonparametric Causality-in-Quantiles Approach," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 142(1), pages 65-82, February.
  55. Byunghoon Kang, 2019. "Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms," Papers 1909.12162, arXiv.org, revised Feb 2020.
  56. Ma, Shujie & Linton, Oliver & Gao, Jiti, 2021. "Estimation and inference in semiparametric quantile factor models," Journal of Econometrics, Elsevier, vol. 222(1), pages 295-323.
  57. Zheng Fang & Juwon Seo, 2019. "A Projection Framework for Testing Shape Restrictions That Form Convex Cones," Papers 1910.07689, arXiv.org, revised Sep 2021.
  58. Kong, Efang & Linton, Oliver & Xia, Yingcun, 2013. "Global Bahadur Representation For Nonparametric Censored Regression Quantiles And Its Applications," Econometric Theory, Cambridge University Press, vol. 29(5), pages 941-968, October.
  59. Victor Chernozhukov & Vira Semenova, 2018. "Simultaneous inference for Best Linear Predictor of the Conditional Average Treatment Effect and other structural functions," CeMMAP working papers CWP40/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  60. Qihui Chen, 2022. "Robust Estimation of Conditional Factor Models," Papers 2204.00801, arXiv.org, revised Apr 2022.
  61. Manuel Arellano & Richard Blundell & Stéphane Bonhomme, 2017. "Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework," Econometrica, Econometric Society, vol. 85, pages 693-734, May.
  62. repec:hum:wpaper:sfb649dp2016-057 is not listed on IDEAS
  63. He, Xuming & Pan, Xiaoou & Tan, Kean Ming & Zhou, Wen-Xin, 2023. "Smoothed quantile regression with large-scale inference," Journal of Econometrics, Elsevier, vol. 232(2), pages 367-388.
  64. Karen X. Yan & Qi Li, 2018. "Nonparametric Estimation of a Conditional Quantile Function in a Fixed Effects Panel Data Model," JRFM, MDPI, vol. 11(3), pages 1-10, August.
  65. Mehmet Balcilar & Seyi Saint Akadiri & Rangan Gupta & Stephen M. Miller, 2017. "Partisan Conflict and Income Distribution in the United States: A Nonparametric Causality-in-Quantiles Approach," Working Papers 201741, University of Pretoria, Department of Economics.
  66. Holly Brannelly & Andrea Macrina & Gareth W. Peters, 2021. "Stochastic measure distortions induced by quantile processes for risk quantification and valuation," Papers 2201.02045, arXiv.org.
  67. Erik Figueiredo & Luiz Lima & Georg Schaur, 2016. "The effect of the Euro on the bilateral trade distribution," Empirical Economics, Springer, vol. 50(1), pages 17-29, February.
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