Quantile cointegration in the autoregressive distributed-lag modeling framework

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

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

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

Recommendations

• Quantile cointegrating regression
• Quantile regression and application for a class of cointegration models
• Estimation and test for quantile nonlinear cointegrating regression
• Autoregressive distributed lag models and cointegration
• Cointegration test for linear time trend model by quantile regression

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
• Regression Quantiles
• Title not available (Why is that?)
• Quantile Autoregression
• Asymptotics for linear processes
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Unit root quantile autoregression testing using covariates
• Quantile cointegrating regression
• Wild bootstrap for quantile regression
• Momentum and Mean Reversion in Strategic Asset Allocation
• LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES
• ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
• Title not available (Why is that?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Infinite Density at the Median and the Typical Shape of Stock Return Distributions
• Inference on the Quantile Regression Process
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
• Unit Root Quantile Autoregression Inference
• Title not available (Why is that?)
• Predictive quantile regression with persistent covariates: IVX-QR approach
• Some thoughts on the development of cointegration

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

This page was built for publication: Quantile cointegration in the autoregressive distributed-lag modeling framework

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q82997)