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Asymptotic properties of a particular nonlinear regression quantile estimation

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  • Kim, Tae Soo
  • Kim, Hae Kyung
  • Hur, Sun

Abstract

In this paper we shall be concerned with the asymptotic properties of the regression quantile estimation in the nonlinear regression time series models. For these, first we prove the strong consistency and derive the asymptotic normality of the regression quantile estimators for a particular sinusoidal regression model with a simple harmonic component. Next, we extend the results to more complicated sinusoidal models of several harmonic components.

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  • Kim, Tae Soo & Kim, Hae Kyung & Hur, Sun, 2002. "Asymptotic properties of a particular nonlinear regression quantile estimation," Statistics & Probability Letters, Elsevier, vol. 60(4), pages 387-394, December.
    • Handle: RePEc:eee:stapro:v:60:y:2002:i:4:p:387-394
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    References listed on IDEAS

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    1. White, Halbert, 1980. "Nonlinear Regression on Cross-Section Data," Econometrica, Econometric Society, vol. 48(3), pages 721-746, April.
    2. Kundu, Debasis, 1993. "Asymptotic theory of least squares estimator of a particular nonlinear regression model," Statistics & Probability Letters, Elsevier, vol. 18(1), pages 13-17, August.
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