Quantile regression and application for a class of cointegration models

MaRDI QIDQ2992108zbMATH OpenFDO

Authors Qichang Xie

Publication date 10 August 2016

zbMATH Keywords

cointegrationfully modified estimatornonparametric estimatorquantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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(9)

• Estimation and test for quantile nonlinear cointegrating regression
• Modeling tail risks of inflation using unobserved component quantile regressions
• Nonparametric inference for quantile cointegrations with stationary covariates
• Quantile cointegrating regression
• scientific article; zbMATH DE number 7448214 (Why is no real title available?)
• Cointegration test for linear time trend model by quantile regression
• scientific article; zbMATH DE number 7071613 (Why is no real title available?)
• Some thoughts on the development of cointegration
• Quantile cointegration in the autoregressive distributed-lag modeling framework

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