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Nonstandard Limit Theory in Predictive Quantile Regressions

主讲人: Jihyung Lee
主讲人简介:

 UIUC

简介:

This paper revisits the models of predictive quantile regressions with persistent predictors. The nonstationary predictors are allowed to be informative with non-zero slope coefficient when estimating the conditional quantiles of the dependent variable. Under this framework, a rather surprising limit theory is developed: (i) the intercept estimator in quantile regression diverges with √n-rate, and (ii) the slope coefficient estimator diverges arbitrarily fast, thereby leading to a spurious quantile prediction. The new limit theory raises a serious empirical concern when predicting conditional quantile of financial returns using persistent predictors.

时间: 2018-05-24(Thursday)12:30-14:00
地点: N302, Econ Building
期数: 计量与统计BBS
类型: 独立讲座