Unit root quantile autoregression testing using covariates

DOI10.1016/j.jeconom.2009.01.007zbMath1431.62374OpenAlexW2007180162MaRDI QIDQ2630077

Antonio F. jun. Galvao

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.01.007

zbMATH Keywords

unit rootcovariatesquantilelinear time trend

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (12)

Dealing with Markov-switching parameters in quantile regression models ⋮ Estimation and test for quantile nonlinear cointegrating regression ⋮ Covariate unit root tests with good size and power ⋮ A residual-based test for autocorrelation in quantile regression models ⋮ Testing for explosive bubbles in the presence of non-Gaussian conditions ⋮ The changing dynamics of US inflation persistence: a quantile regression approach ⋮ Impulse response analysis in conditional quantile models with an application to monetary policy ⋮ Quantile cointegration in the autoregressive distributed-lag modeling framework ⋮ Quantile inference for nonstationary processes with infinite variance innovations ⋮ Quantile unit root inference for panel data with common shocks ⋮ Unit root testing with stationary covariates and a structural break in the trend function ⋮ Testing for a unit root in a nonlinear quantile autoregression framework

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• Unnamed Item

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