Abstract
We develop the limit theory of the quantilogram and cross-quantilogram under long memory. We establish the sub-root-n central limit theorems for quantilograms that depend on nuisance parameters. We propose a moving block bootstrap (MBB) procedure for inference and establish its consistency, thereby enabling a consistent confidence interval construction for the quantilograms. The newly developed reduction principles for the quantilograms serve as the main technical devices used to derive the asymptotics and establish the validity of MBB. We report some simulation evidence that our methods work satisfactorily. We apply our method to quantile predictive relations between financial returns and long-memory predictors.
Original language | English (US) |
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Pages (from-to) | 457-487 |
Number of pages | 31 |
Journal | Econometric Theory |
Volume | 36 |
Issue number | 3 |
Early online date | Aug 30 2019 |
DOIs | |
State | Published - Jun 1 2020 |
ASJC Scopus subject areas
- Social Sciences (miscellaneous)
- Economics and Econometrics