Functional-coefficient quantile cointegrating regression with stationary covariates

Haiqi Li, Jing Zhang and Chaowen Zheng

Statistics & Probability Letters, 2025, vol. 219, issue C

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 nh 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.

Keywords: Quantile cointegration; Local linear smoothing; Stability tests; Fixed regressor wild bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2024.110344

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