Xiaosai Liao

Southwestern University of Finance and Economics

Chengdu, 611130

China

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Scholarly Papers (1)

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A New Robust Inference for Predictive Quantile Regression

Number of pages: 57 Posted: 03 Jun 2020
Zongwu Cai, Haiqiang Chen and Xiaosai Liao
University of Kansas - School of Business - Economics Area, Xiamen University and Southwestern University of Finance and Economics
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Abstract:

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Auxiliary regressor; Embedded endogeneity; Highly persistent predictor; Multiple regression; Predictive quantile regression; Robust; Weighted estimator