Functional-coefficient quantile cointegrating regression with stationary covariates

Li, Haiqi, Zhang, Jing and Zheng, Chaowen (2025) Functional-coefficient quantile cointegrating regression with stationary covariates. Statistics & Probability Letters, 219, 110344, [110344]. (doi:10.1016/j.spl.2024.110344).

Record type: Article

Abstract

This study examines the estimation and inference of functional-coefficient quantile cointegrating regression. Firstly, a local linear quantile regression estimator is proposed to estimate the unknown coefficient function. Secondly, to alleviate the endogeneity problem, we propose a nonparametric fully-modified quantile regression estimator that is shown to be
consistent and follow a mixed normal distribution asymptotically. Thirdly, we propose two Kolmogorov–Smirnov type test statistics for coefficient stability in a given quantile or across multiple quantile levels. Finally, to improve the finite sample performance, we propose a fixed regressor wild bootstrap procedure and establish its asymptotic validity. Monte Carlo simulation results confirm the merits of the proposed estimator and tests.

Text

Li, Zhang, and Zheng, 2024 Functional_Coefficient_Quantile_Cointegrating_Model_and_Its_Application - Accepted Manuscript

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