Regression Quantiles for Unstable Autoregressive Models.
This paper investigates regression quantiles (RQ) for unstable autoregressive models. The unifoem Bahadur representation of the RQ process is obtained. The joint asymptotic distribution of the RQ process is derived in a unified manner for all types of characteristic roots on or outside the unit circle.
Year of publication: |
2001
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Authors: | Ling, S. ; McAleer, M. |
Institutions: | Institute of Social and Economic Research (ISER), Osaka University |
Subject: | DISTRIBUTION | REGRESSION | ESTIMATORS |
Saved in:
freely available
Series: | |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 25 pages |
Classification: | C1 - Econometric and Statistical Methods: General ; C2 - Econometric Methods: Single Equation Models ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models |
Source: |
Persistent link: https://www.econbiz.de/10008466546
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