Inference for non-stationary time series quantile regression with inequality constraints
不等式约束下非平稳时间序列分位数回归的推断
We consider parameter inference for linear quantile regression with non-stationary predictors and errors, where the regression parameters are subject to inequality constraints. We show that the constrained quantile coefficient estimators are asymptotically equivalent to the metric projections of the unconstrained estimator onto the constrained parameter space. Utilizing a geometry-invariant property of this projection operation, we propose inference procedures - the Wald,…