Regression quantiles for unstable autoregressive models

DOI10.1016/S0047-259X(03)00127-1zbMath1047.62077OpenAlexW2033883673MaRDI QIDQ1877008

Shiqing Ling, Michael McAleer

Publication date: 16 August 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0047-259x(03)00127-1

zbMATH Keywords

Unit rootQuantile estimationRandomly weighted residual empirical processUnstable AR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17)

Related Items

A Note on Unit Root Tests with Infinite Variance Noise, Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models, Monitoring Variance Change in Infinite Order Moving Average Processes and Nonstationary Autoregressive Processes, Fitting an error distribution in some heteroscedastic time series models, Diagnostic test for unstable autoregressive models, Quantile inference for nonstationary processes with infinite variance innovations

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