arXiv 14 Nov 2023 · Econometrics
arXiv:2311.08218 · PDF · DOI · OpenAlex · Extracted main text
This paper develops an asymptotic distribution theory for an endogenous instrumentation approach in quantile predictive regressions when both generated covariates and persistent predictors are used. The generated covariates are obtained from an auxiliary quantile predictive regression model and the statistical problem of interest is the robust estimation and inference of the parameters that correspond to the primary quantile predictive regression in which this generated covariate is added to the set of nonstationary regressors. We find that the proposed doubly IVX corrected estimator is robust to the abstract degree of persistence regardless of the presence of generated regressor obtained from the first stage procedure. The asymptotic properties of the two-stage IVX estimator such as mixed Gaussianity are established while the asymptotic covariance matrix is adjusted to account for the first-step estimation error.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Adrian, T. and Brunnermeier, M. K (2016) Covar | 1.000 | 15 | 4 | 100% |
| 2 | Lee, J. H (2016) Predictive quantile regression with persistent covariates: Ivx-qr approach | 1.000 | 14 | 4 | 100% |
| 3 | Katsouris, C (2021) Optimal portfolio choice and stock centrality for tail risk events self | 1.000 | 13 | 4 | 100% |
| 4 | Härdle, W. K., Wang, W., and Yu, L (2016) Tenet: Tail-event driven network risk | 1.000 | 12 | 4 | 100% |
| 5 | Katsouris, C (2023) Statistical estimation for covariance structures with tail estimates using nodewise quantile predictive regression models self | 1.000 | 12 | 4 | 100% |
| 6 | Demetrescu, M. and Rodrigues, P. M (2020) Residual-augmented ivx predictive regression | 1.000 | 7 | 3 | 100% |
| 7 | Katsouris, C (2023) Quantile time series regression models revisited self | 1.000 | 5 | 4 | 100% |
| 8 | Kostakis, A., Magdalinos, T., and Stamatogiannis, M. P (2015) Robust econometric inference for stock return predictability | 1.000 | 5 | 3 | 100% |
| 9 | Fan, R. and Lee, J. H (2019) Predictive quantile regressions under persistence and conditional heteroskedasticity | 0.928 | 4 | 3 | 100% |
| 10 | Phillips, P. C. B. and Magdalinos, T (2009) Econometric inference in the vicinity of unity | 0.874 | 7 | 2 | 100% |
Showing the top 10 of 90 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Robust Estimation in Network Vector Autoregression with Nonstationary Regressors | 0.644 | 2 | 2 |
| 2 | Structural Analysis of Vector Autoregressive Models | 0.405 | 1 | 1 |