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...

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...

This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarity, ergodicity, and the higherorder moments of the model are established. Consistency of the quasi- maximum likelihood estimator (QMLE) is proved under only the second-order...

Empirical factor demand analysis typically involves making a choice from among several competing non-nested functional forms. Each of the commonly used factor demand systems, such as Translog, Generalized Leontief, Quadratic, and Generalized McFadden, can provide a valid and useful empirical...