Quantile regression is gradually evolving into a comprehensive approach to the statistical analysis of linear and nonlinear response models for conditional quantile functions. Just as classical linear regression methods based on minimizing sums of squared residuals enable one to estimate models...

We develop unit root tests using additional stationary covariates as suggested in Hansen (1995). However, we allow for the covariates to enter the model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in Robinson (1988). We retain a linear...