A consistent specification test for dynamic quantile models

A consistent specification test for dynamic quantile models

Correct specification of a conditional quantile model implies that a particular conditional moment is equal to zero. We nonparametrically estimate the conditional moment function via series regression and test whether it is identically zero using uniform functional inference. Our approach is theoret...

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Bibliographic Details
Main Authors: HORVATH, Peter, LI, Jia, LIAO, Zhipeng, PATTON, Andrew J.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
bootstrap
VaR
series regression
strong approximation
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2555
https://ink.library.smu.edu.sg/context/soe_research/article/3554/viewcontent/1727_2.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2555
https://ink.library.smu.edu.sg/context/soe_research/article/3554/viewcontent/1727_2.pdf

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