I am currently trying to analyze the impact of high levels of geopolitical uncertainty (GPR) on monetary connectivity using a quantile regression model with a quantile set at 0.95. My current concern is whether the coefficients are positive or negative and whether they are significant. However, almost all coefficients are not significant. Four variables in the current data are unstable (including independent variables and dependent variables), and all time series have serial autocorrelation. At present, I does not know how to deal with them, no matter it is logarithm, difference or logarithmic difference, it will change the economic meaning of coefficients.
Quantile regression is not my specialty but I wonder whether or not it's appropriate for time series analysis. I suggest you redo the attached google search. Best wishes David Booth
Dear Professor, I know how to run the quantile regression. You can read the detail of my problem. I'm wondering if I can improve the performance of the model or alternatively change another model
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