Autocorrelation in quantile regression
Posted: Mon Dec 19, 2016 5:03 am
Hi all,
Since quantile regression does not make any assumptions on distribution of error terms, does autocorrelation or heteroskedasticity create a problem on the robustness of the model? If no do you have any reference for this? If yes, what should I do?
Thanks in advance,
Since quantile regression does not make any assumptions on distribution of error terms, does autocorrelation or heteroskedasticity create a problem on the robustness of the model? If no do you have any reference for this? If yes, what should I do?
Thanks in advance,