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Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes

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  • Zernov, Serguei
  • Zinde-Walsh, Victoria
  • Galbraith, John W.

Abstract

Many processes can be represented in a simple form as infinite-order linear series. In such cases, an approximate model is often derived as a truncation of the infinite-order process, for estimation on the finite sample. The literature contains a number of asymptotic distributional results for least squares estimation of such finite truncations, but for quantile estimation, results are not available at a level of generality that accommodates time series models used as finite approximations to processes of potentially unbounded order. Here we establish consistency and asymptotic normality for conditional quantile estimation of truncations of such infinite-order linear models, with the truncation order increasing in sample size. We focus on estimation of the model at a given quantile. The proofs use the generalized functions approach and allow for a wide range of time series models as well as other forms of regression model. The results are illustrated with both analytical and simulation examples.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 100 (2009)
Issue (Month): 3 (March)
Pages: 497-508

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Handle: RePEc:eee:jmvana:v:100:y:2009:i:3:p:497-508

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Related research

Keywords: 62G20 62G05 62J05 Generalized function L1-norm LAD Quantile regression;

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References

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  1. Peter C.B. Phillips, 1990. "A Shortcut to LAD Estimator Asymptotics," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 949, Cowles Foundation for Research in Economics, Yale University.
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Citations

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Cited by:
  1. Liam Cheung & John Galbraith, 2013. "Forecasting financial volatility with combined QML and LAD-ARCH estimators of the GARCH model," CIRANO Working Papers, CIRANO 2013s-19, CIRANO.
  2. Nicholas C.S. Sim, 2009. "Modeling Quantile Dependence: A New Look at the Money-Output Relationship," School of Economics Working Papers 2009-34, University of Adelaide, School of Economics.
  3. John Galbraith & Victoria Zinde-Walsh, 2011. "Partially Dimension-Reduced Regressions with Potentially Infinite-Dimensional Processes," CIRANO Working Papers, CIRANO 2011s-57, CIRANO.

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