HAC Covariance Matrix Estimation in Quantile Regression
分位数回归中的异方差与自相关稳健协方差矩阵估计
This study considers an estimator for the asymptotic variance-covariance matrix in time-series quantile regression models which is robust to the presence of heteroscedasticity and autocorrelation. When regression errors are serially correlated, the conventional quantile regression standard errors are invalid. The proposed solution is a quantile analogue of the Newey-West robust standard errors. We establish the asymptotic properties of the heteroscedasticity and…