Nonstationary nonlinear quantile regression

DOI10.1080/07474938.2017.1308056zbMath1490.62282OpenAlexW3125103537MaRDI QIDQ5860924

Yoshimasa Uematsu

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2017.1308056

zbMATH Keywords

quantile regressionintegrated time seriesnonlinear regression model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items (3)

Nonparametric inference for quantile cointegrations with stationary covariates ⋮ On transformed linear cointegration models ⋮ Estimation for double-nonlinear cointegration

Uses Software

• CAViaR

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Nonstationary nonlinear heteroskedasticity in regression
• Nonlinearity, nonstationarity, and spurious forecasts
• Quantile cointegrating regression
• Nonparametric LAD cointegrating regression
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• The Bierens test for certain nonstationary models
• Maximum score estimation of a nonstationary binary choice model
• Least absolute deviations estimation for the censored regression model
• Censored regression quantiles
• Nonlinear instrumental variable estimation of an autoregression.
• Nonstationary nonlinear heteroskedasticity.
• Index models with integrated time series
• Asymptotic normality of \(L_ 1\)-estimators in nonlinear regression
• An interior point algorithm for nonlinear quantile regression
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• FUNCTIONAL FORM MISSPECIFICATION IN REGRESSIONS WITH A UNIT ROOT
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• Structural Nonparametric Cointegrating Regression
• Copula-based nonlinear quantile autoregression
• A STUDY OF A SEMIPARAMETRIC BINARY CHOICE MODEL WITH INTEGRATED COVARIATES
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• Trimmed Least Squares Estimation in the Linear Model
• ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
• Regression Quantiles
• Asymptotic Statistics
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonstationary Binary Choice
• Nonlinear Regressions with Integrated Time Series
• MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS
• Asymptotics of Quantiles and Rank Scores in Nonlinear Time Series
• Unit Root Quantile Autoregression Inference
• Convergence of stochastic processes
• Preface

This page was built for publication: Nonstationary nonlinear quantile regression