Nonparametric Inference for Time-Varying Coefficient Quantile Regression

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.

• Publication year

  2017

• Venue

  Journal of Business & Economic Statistics

• Publication date

  2017-01-02

• Fields of study

  Mathematics, Economics

• Identifiers
  DOI 10.1080/07350015.2015.1060884
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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