Quantile cointegration in the autoregressive distributed-lag modeling framework

DOI10.1016/J.JECONOM.2015.05.003MaRDI QIDQ82997zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 4104198 (Why is no real title available?)
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• Asymptotics for linear processes
• CAViaR
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
• Inference on the Quantile Regression Process
• Infinite density at the median and the typical shape of stock return distributions
• LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Momentum and mean reversion in strategic asset allocation
• Predictive quantile regression with persistent covariates: IVX-QR approach
• Quantile Autoregression
• Quantile cointegrating regression
• Regression Quantiles
• Some thoughts on the development of cointegration
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Unit Root Quantile Autoregression Inference
• Unit root quantile autoregression testing using covariates
• Wild bootstrap for quantile regression

Cited in

(18)

• scientific article; zbMATH DE number 7448214 (Why is no real title available?)
• 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
• The role of political risk, uncertainty, and crude oil in predicting stock markets: evidence from the UAE economy
• Functional-coefficient quantile cointegrating regression with stationary covariates
• Likelihood-based quantile autoregressive distributed lag models and its applications
• Qardl
• 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
• Quantile cointegrating regression
• Dealing with Markov-switching parameters in quantile regression models
• A simple quantile regression model linking micro outcomes to macro covariates
• Inference in predictive quantile regressions
• scientific article; zbMATH DE number 7071613 (Why is no real title available?)
• Quantile regression and application for a class of cointegration models

Describes a project that uses

Uses Software

• CAViaR

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