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The First Sessionof IEB—Applied Economics Colloquium

Publish Date: 2017/09/27 17:39:25    Hits:

Applied Economics Colloquium at Beihang University will be held biweekly on Thursday in New Main Building.

Time:2017.9.28 12:00-14:00.A949.

You are welcome to join the forum.

Title:Nonparametric Conditional Quantile Function Estimation for Time Series Data

Lecturer:Xirong Chen  


In this paper we consider the problem of forecasting a conditional quantile function in a nonparametric framework with time series data. We prove the consistency and asymptotic normality of our nonparametric conditional quantile estimator for absolutely regular processes (β-mixing) data generating processes. We derive the asymptotic distribution of our proposed estimator and conduct Monte Carlo experiments to compare the finite sample performance of our estimator and traditional check function based estimator. Simulation results show that our estimator outperforms the check function based estimator in terms of out-of-sample forecasting. We also apply the estimation method to forecast monthly U.S. housing return based on S&P/Case-Shiller House Price Indices and compare the forecasting results with those obtained by using a commonly used linear conditional quantile model and by using conventional check function based nonparametric conditional quantile estimator. Our estimator forecast well compared to these competitors, especially for data in the tail regions.


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