On the serial correlation in multi-horizon predictive quantile regression

Ke-Li Xu

Economics Letters, 2021, vol. 200, issue C

Abstract: This note presents a result on the serial correlation of the score process of the predictive quantile regression with multi-horizon outcomes. The result indicates that inference of multi-horizon quantile (or median) regression is more robust to serial correlation induced by overlapping observations, than the standard multi-horizon mean regression. The finding is illustrated by stock return data.

Keywords: HAR inference; Long horizons; Overlapping observations; Predictive regression; Quantile regression (search for similar items in EconPapers)
JEL-codes: C21 C22 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:200:y:2021:i:c:s0165176521000136

DOI: 10.1016/j.econlet.2021.109736

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