Predictive quantile regression with persistent covariates: IVX-QR approach

DOI10.1016/j.jeconom.2015.04.003zbMath1419.62514OpenAlexW1720183910MaRDI QIDQ5964753

Ji Hyung Lee

Publication date: 1 March 2016

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/65150/1/MPRA_paper_65150.pdf

zbMATH Keywords

quantile regressionIVX filteringlocal to unitymultivariate predictorspredictive regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Related Items (19)

COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS ⋮ Robust econometric inference with mixed integrated and mildly explosive regressors ⋮ A perspective on recent methods on testing predictability of asset returns ⋮ On LASSO for predictive regression ⋮ On the serial correlation in multi-horizon predictive quantile regression ⋮ Nonparametric inference for quantile cointegrations with stationary covariates ⋮ Penetrating sporadic return predictability ⋮ Extensions to IVX methods of inference for return predictability ⋮ Transformed regression-based long-horizon predictability tests ⋮ Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach ⋮ Robust inference with stochastic local unit root regressors in predictive regressions ⋮ QUANTILOGRAMS UNDER STRONG DEPENDENCE ⋮ Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions ⋮ A new robust inference for predictive quantile regression ⋮ Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects ⋮ Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model ⋮ Quantile cointegration in the autoregressive distributed-lag modeling framework ⋮ Predictive quantile regressions under persistence and conditional heteroskedasticity ⋮ Residual-augmented IVX predictive regression

Uses Software

• quantilogram

Cites Work

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• Regression Quantiles
• On Confidence Intervals for Autoregressive Roots and Predictive Regression
• Fully Modified Least Squares and Vector Autoregression
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