HAC Covariance Matrix Estimation in Quantile Regression

Cites Work

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
The quantilogram: with an application to evaluating directional predictability
Quantile cointegrating regression
Quantile regression with clustered data
Asymptotic normality of Powell's kernel estimator
VAR for VaR: measuring tail dependence using multivariate regression quantiles
Estimating structural changes in regression quantiles
Testing linearity against threshold effects: uniform inference in quantile regression
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The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
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Extremal quantile treatment effects
Extremal quantile regression
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On Consistent Estimates of the Spectrum of a Stationary Time Series
A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
A resampling method based on pivotal estimating functions
Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
Inference in Linear Regression Models with Many Covariates and Heteroscedasticity
ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects
Detecting Differential Expressions in GeneChip Microarray Studies
Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
Quantile Autoregression
HAR Inference: Recommendations for Practice