CHO, JIN SEO; KIM, TAE-HWAN; SHIN, YONGCHEOL - Economic Research Institute, College of Business and … - 2014
Xiao (2009) develops a novel estimation technique for quantile cointegrated time series by extending Phillips and Hansen¡¯s (1990) semiparametric approach and Saikkonen¡¯s (1991) parametrically augmented approach. This paper extends Pesaran and Shin¡¯s (1998) autoregressive distributed-lag...
