Quantile cointegration in the autoregressive distributed-lag modeling framework

DOI10.1016/j.jeconom.2015.05.003zbMath1337.62252OpenAlexW2135603423MaRDI QIDQ82997

Yongcheol Shin, Tae-Hwan Kim, Jin Seo Cho, Jin Seo Cho, Yongcheol Shin, Tae-Hwan Kim

Publication date: September 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.05.003

zbMATH Keywords

quantile regressiondividend smoothinglong-run cointegrating relationshipQARDLtime-varying rolling estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Likelihood-based quantile autoregressive distributed lag models and its applications, Dealing with Markov-switching parameters in quantile regression models, Nonparametric inference for quantile cointegrations with stationary covariates, Estimation and test for quantile nonlinear cointegrating regression, Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator, A residual-based test for autocorrelation in quantile regression models, The windowed scalogram difference: a novel wavelet tool for comparing time series, Impulse response analysis in conditional quantile models with an application to monetary policy, Qardl

Uses Software

• CAViaR

Cites Work

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