ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
Walter Oberhofer and
Econometric Theory, 2016, vol. 32, issue 3, 686-713
This paper studies the asymptotic properties of the nonlinear quantile regression model under general assumptions on the error process, which is allowed to be heterogeneous and mixing. We derive the consistency and asymptotic normality of regression quantiles under mild assumptions. First-order asymptotic theory is completed by a discussion of consistent covariance estimation.
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