Nonparametric inference for quantile cointegrations with stationary covariates
含平稳协变量的分位数协整非参数推断
This paper considers the inference problems in nonlinear quantile regressions with both stationary and nonstationary covariates. The nonparametric local constant quantile estimator is proposed to estimate the unknown quantile regression function, whose asymptotic properties are established under quite general conditions. Specification testing of the quantile regression function is further considered through a statistic constructed based on the integrated squared distance…