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ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE

Published online by Cambridge University Press:  23 March 2015

Walter Oberhofer  and
Harry Haupt
Walter Oberhofer
Affiliation:
University of Regensburg
Harry Haupt*
Affiliation:
University of Passau
*
*Address correspondence to Harry Haupt, Department of Statistics, University of Passau, 94030 Passau, Germany; e-mail: harry.haupt@uni-passau.de.
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Abstract

This paper studies the asymptotic properties of the nonlinear quantile regression model under general assumptions on the error process, which is allowed to be heterogeneous and mixing. We derive the consistency and asymptotic normality of regression quantiles under mild assumptions. First-order asymptotic theory is completed by a discussion of consistent covariance estimation.

Type
ARTICLES
Information
Econometric Theory , Volume 32 , Issue 3 , June 2016 , pp. 686 - 713
Copyright
Copyright © Cambridge University Press 2015 

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