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A New Robust Inference for Predictive Quantile Regression

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For predictive quantile regressions with highly persistent regressors, a conventional test statistic suffers from a serious size distortion and its limiting distribution relies on the unknown persistence degree of predictors. This paper proposes a double-weighted approach to offer a robust...

Persistent link: https://www.econbiz.de/10012834922

A new robust inference for predictive quantile regression

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Generalising estimators for seasonal forecasting by combining grouping with shrinkage approaches

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