Quantile cointegration in the autoregressive distributed-lag modeling framework

DOI10.1016/J.JECONOM.2015.05.003zbMATH Open1337.62252OpenAlexW2135603423MaRDI QIDQ82997FDOQ82997

Authors: Jin Seo Cho, Tae-Hwan Kim, Yongcheol Shin, Jin Seo Cho, Tae-Hwan Kim, Yongcheol Shin 

Publication date: September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.05.003

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zbMATH Keywords

quantile regressiondividend smoothinglong-run cointegrating relationshipQARDLtime-varying rolling estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Software, source code, etc. for problems pertaining to statistics (62-04) Asymptotic distribution theory in statistics (62E20)

Cites Work

• CAViaR
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• Limiting distributions for \(L_1\) regression estimators under general conditions
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Cited In (13)

• Title not available (Why is that?)
• A residual-based test for autocorrelation in quantile regression models
• The windowed scalogram difference: a novel wavelet tool for comparing time series
• Impulse response analysis in conditional quantile models with an application to monetary policy
• Likelihood-based quantile autoregressive distributed lag models and its applications
• Dynamic Network Quantile Regression Model
• Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator
• Estimation and test for quantile nonlinear cointegrating regression
• Nonparametric inference for quantile cointegrations with stationary covariates
• Qardl
• Dealing with Markov-switching parameters in quantile regression models
• Inference in predictive quantile regressions
• Title not available (Why is that?)

Uses Software

• CAViaR

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