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.

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Year of publication:	2001
Authors:	Ling, S. ; McAleer, M.
Institutions:	Institute of Social and Economic Research (ISER), Osaka University
Subject:	DISTRIBUTION \| REGRESSION \| ESTIMATORS

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Series:	ISER Discussion Paper.
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:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008466546