Lee, JiHyung
(2015):
*Predictive quantile regression with persistent covariates: IVX-QR approach.*
Forthcoming in: Journal of Econometrics

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## Abstract

This paper develops econometric methods for inference and prediction in quantile regression (QR) allowing for persistent predictors. Conventional QR econometric techniques lose their validity when predictors are highly persistent. I adopt and extend a methodology called IVX filtering (Magdalinos and Phillips, 2009) that is designed to handle predictor variables with various degrees of persistence. The proposed IVX-QR methods correct the distortion arising from persistent multivariate predictors while preserving discriminatory power. Simulations confirm that IVX-QR methods inherit the robust properties of QR. These methods are employed to examine the predictability of US stock returns at various quantile levels.

Item Type: | MPRA Paper |
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Original Title: | Predictive quantile regression with persistent covariates: IVX-QR approach |

Language: | English |

Keywords: | IVX filtering, Local to unity, Multivariate predictors, Predictive regression, Quantile regression. |

Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes |

Item ID: | 65150 |

Depositing User: | JiHyung Lee |

Date Deposited: | 21 Jun 2015 03:50 |

Last Modified: | 27 Sep 2019 12:26 |

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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/65150 |