Bootstrap of Kernel Smoothing in Quantile Autoregression Process

Peter N. Mwita and Jurgen Franke

Journal of Statistical and Econometric Methods, 2013, vol. 2, issue 3, 13

Abstract: The paper considers the problem of bootstrapping kernel estimator of conditional quantiles for time series, under independent and identically distributed errors, by mimicking the kernel smoothing in nonparametric autoregressive scheme. A quantile autoregression bootstrap generating process is constructed and the estimator given. Under appropriate assumptions, the bootstrap estimator is shown to be consistent.

Date: 2013
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