Testing cointegration in quantile regressions with an application to the term structure of interest rates

DOI10.1515/snde-2013-0107OpenAlexW2341693012MaRDI QIDQ2691647

Nina Kuriyama

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2013-0107

zbMATH Keywords

quantile regressioncointegrationterm structurefully modified estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach

Cites Work

• Unnamed Item
• Unnamed Item
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Estimating Long-Run Economic Equilibria
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Testing for structural change in regression quantiles
• Quantile cointegrating regression
• Estimating structural changes in regression quantiles
• Statistical analysis of cointegration vectors
• Diagnostic test for structural change in cointegrated regression models
• A CUSUM test for cointegration using regression residuals
• Residual-based tests for cointegration in models with regime shifts
• Asymptotic Properties of Residual Based Tests for Cointegration
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Testing for Common Trends
• The Cusum Test with Ols Residuals
• Regression Quantiles
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Unit Root Quantile Autoregression Inference
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models