Following recent work of Franses, Hylleberg and Lee (FHL), this paper analyses the consequences of fitting a deterministic seasonal model to a quarterly time series which can be (at least approximately) described by a seasonal unit root(s) model. Besides the distribution of the coefficient of...

The performances of alternative two-stage estimators for the endogenous switching regression model with discrete dependent variables are compared, with regard to their usefulness as starting values for maximum likelihood estimation. This is especially important in the presence of large...

We introduce a goodness of fit process for quantile regression analogous to the conventional R2 statistic of least squares regression. Several related inference processes designed to test composite hypothese about the combined effect of several covariates over an entire range of conditional...