Locally Stationary Quantile Regression for Inflation and Interest Rates
提出局部平稳分位数回归方法，研究通胀与利率随时间变化且分位数特定的关系，发现系数随时间复杂变化且不同分位数下模式迥异。
Motivated by the potential time-varying and quantile-specific relation between inflation and interest rates, we propose a locally stationary quantile regression approach to model the inflation and interest rates relation. Large sample theory for estimation and inference of quantile-varying and time-varying coefficients are established. In empirical analysis of inflation and interest rates relation, it is found that the estimated functional coefficients vary with time in a complicated manner. Furthermore, the relation is quantile-specific: not only do the selected orders differ for different quantiles, but also the coefficients corresponding to different quantiles can display completely different patterns.