Local composite quantile regression smoothing for Harris recurrent Markov processes

Degui Li, Runze Li

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

In this paper, we study the local polynomial composite quantile regression (CQR) smoothing method for the nonlinear and nonparametric models under the Harris recurrent Markov chain framework. The local polynomial CQR regression method is a robust alternative to the widely-used local polynomial method, and has been well studied in stationary time series. In this paper, we relax the stationarity restriction on the model, and allow that the regressors are generated by a general Harris recurrent Markov process which includes both the stationary (positive recurrent) and nonstationary (null recurrent) cases. Under some mild conditions, we establish the asymptotic theory for the proposed local polynomial CQR estimator of the mean regression function, and show that the convergence rate for the estimator in nonstationary case is slower than that in stationary case. Furthermore, a weighted type local polynomial CQR estimator is provided to improve the estimation efficiency, and a data-driven bandwidth selection is introduced to choose the optimal bandwidth involved in the nonparametric estimators. Finally, we give some numerical studies to examine the finite sample performance of the developed methodology and theory.

Original languageEnglish (US)
Pages (from-to)44-56
Number of pages13
JournalJournal of Econometrics
Volume194
Issue number1
DOIs
StatePublished - Sep 1 2016

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Local Polynomial
Quantile Regression
Markov Process
Markov processes
Smoothing
Composite
Polynomials
Composite materials
Regression Estimator
Bandwidth
Optimal Bandwidth
Stationary Time Series
Bandwidth Selection
Polynomial Methods
Smoothing Methods
Nonparametric Estimator
Nonparametric Model
Asymptotic Theory
Stationarity
Regression Function

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

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Local composite quantile regression smoothing for Harris recurrent Markov processes. / Li, Degui; Li, Runze.

In: Journal of Econometrics, Vol. 194, No. 1, 01.09.2016, p. 44-56.

Research output: Contribution to journalArticle

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