Nonparametric Inference for Time-Varying Coefficient Quantile Regression
Bibliographic Data
| ID | 19418591 |
|---|---|
| Authors | Weichi Wu (0000-0001-5716-0193, Department of Statistics, Toronto, Ontario, M5S 3G3 Canada ()), Zhou Zhou (0000-0001-9906-8889, Department of Statistics, Toronto, Ontario, M5S 3G3 Canada ()) |
| Year | 2017 |
| Volume | 35 |
| Issue | 1 |
| Pages | 98-109 |
| Publication date | 2017-01-02 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2015.1060884 |
| OpenAlex | W2463486970 |
| Language | EN |
| Citations received | 2 |
| References cited | 57 |
The article considers nonparametric inference for quantile regression models with time-varying coefficients. The errors and covariates of the regression are assumed to belong to a general class of locally stationary processes and are allowed to be cross-dependent. Simultaneous confidence tubes (SCTs) and integrated squared difference tests (ISDTs) are proposed for simultaneous nonparametric inference of the latter models with asymptotically correct coverage probabilities and Type I error rates. Our methodologies are shown to possess certain asymptotically optimal properties. Furthermore, we propose an information criterion that performs consistent model selection for nonparametric quantile regression models of nonstationary time series. For implementation, a wild bootstrap procedure is proposed, which is shown to be robust to the dependent and nonstationary data structure. Our method is applied to studying the asymmetric and time-varying dynamic structures of the U.S. unemployment rate since the 1940s. Supplementary materials for this article are available online
Covariate · Econometrics · Inference · Model selection · Nonparametric regression · Nonparametric statistics · Quantile · Quantile regression · Regression · Statistics · Advanced Statistical Methods and Models · Computer Science · Financial Risk and Volatility Modeling · Mathematics · Statistical Methods and Inference · Artificial Intelligence
| Unique citing works | 2 |
|---|---|
| Citations per year | 0,5 |
| Citation span | 2022 - 2026 (5) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 2 |