For predictive quantile regressions with highly persistent regressors, a conventional test statistic suffers from a serious size distortion and its limiting distribution relies on the unknown persistence degree of predictors. This paper proposes a double-weighted approach to offer a robust...

Varying-coefficient linear models arise from multivariate nonparametric regression, nonlinear time series modelling and forecasting, functional data analysis, longitudinal data analysis, and others. It has been a common practice to assume that the vary-coefficients are functions of a given...