This paper derives the asymptotic normality of the nonlinear quantile regression estimator with dependent errors. The required assumptions are weak, and it is neither assumed that the error process is stationary nor that it is mixing. In fact, the notion of weak dependence introduced in this paper, can be considered as a quantile specific local variant of known concepts. The connection of the derived asymptotic results to corresponding results of least squares estimation is obvious.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Length: Date of creation: 11 Mar 2005 Date of revision: Handle: RePEc:bay:rdwiwi:479
Note: This paper is part of http://www.opus-bayern.de/uni-regensburg/schriftenreihen_ebene2.php?sr_id=3 Contact details of provider: Postal: D-93040 Regensburg Phone: +49 941 943-2392 Fax: +49 941 943-4752 Email: Web page: http://www.wiwi.uni-regensburg.de/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Marc Reymann) The email address of this maintainer does not seem to be valid anymore. Please ask Marc Reymann to update the entry or send us the correct address..