A new robust inference for predictive quantile regression

DOI10.1016/j.jeconom.2021.10.012OpenAlexW4206330531MaRDI QIDQ2697984

Zong-Wu Cai, Hai-Qiang Chen, Xiao-Sai Liao

Publication date: 14 April 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.10.012

zbMATH Keywords

robustweighted estimatormultiple regressionauxiliary regressorembedded endogeneityhighly persistent predictorpredictive quantile regression

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Penetrating sporadic return predictability

Cites Work

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