Local Linear Quantile Regression for Time Series Under Near Epoch Dependence

44 Pages Posted: 7 Apr 2020 Last revised: 18 Jun 2020

See all articles by Xiaohang Ren

Xiaohang Ren

University of Southampton; Central South University

Zudi Lu

University of Southampton

Date Written: May 17, 2020

Abstract

This paper aims to establish asymptotic normality of the local linear kernel estimator for quantile regression under near epoch dependence, a useful concept in characterising time series dependence of extensive interests in Econometrics. In particular, near epoch dependence can cover a wide range of linear or nonlinear time series models that are even not of strong or $\alpha$-mixing property (a property usually assumed in the nonlinear time series literature). Under the mild conditions, the Bahadur representation of the quantile regression estimators is established in weak convergence sense. The method provides much richer information than mean regression and covers much more processes, which do not satisfy general mixing conditions. Simulation and application to a real data set are studied, which demonstrate the usefulness of the introduced method for analysis of time series. The theoretical results of this paper will be of widely potential interest for time series econometric semiparametric quantile regression modelling.

Keywords: Local linear fitting; Quantile regression; Near epoch dependence; Bahadur representation

JEL Classification: C10; C14; C21

Suggested Citation

Ren, Xiaohang and Lu, Zudi, Local Linear Quantile Regression for Time Series Under Near Epoch Dependence (May 17, 2020). Available at SSRN: https://ssrn.com/abstract=3555740 or http://dx.doi.org/10.2139/ssrn.3555740

Xiaohang Ren (Contact Author)

University of Southampton ( email )

University Rd.
Southampton SO17 1BJ, Hampshire SO17 1LP
United Kingdom

Central South University ( email )

Changsha, Hunan 410083
China

Zudi Lu

University of Southampton ( email )

University Rd.
Southampton SO17 1BJ, Hampshire SO17 1LP
United Kingdom

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