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This study examines linear quantile regression models with GARCH-X errors. These models include the most popular generalized autoregressive conditional heteroscedasticity (GARCH) as a special case, ...
Falong Tan, Lixing Zhu, ADAPTIVE-TO-MODEL CHECKING FOR REGRESSIONS WITH DIVERGING NUMBER OF PREDICTORS, The Annals of Statistics, Vol. 47, No. 4 (August 2019), pp. 1960-1994 ...
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