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...

This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...

This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...