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QUANTILOGRAMS UNDER STRONG DEPENDENCE

Ji Hyung Lee, Oliver Linton and Yoon-Jae Whang

Econometric Theory, 2020, vol. 36, issue 3, 457-487

Abstract: We develop the limit theory of the quantilogram and cross-quantilogram under long memory. We establish the sub-root-n central limit theorems for quantilograms that depend on nuisance parameters. We propose a moving block bootstrap (MBB) procedure for inference and establish its consistency, thereby enabling a consistent confidence interval construction for the quantilograms. The newly developed reduction principles for the quantilograms serve as the main technical devices used to derive the asymptotics and establish the validity of MBB. We report some simulation evidence that our methods work satisfactorily. We apply our method to quantile predictive relations between financial returns and long-memory predictors.

Date: 2020
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