Unit Root Quantile Autoregression Inference
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- scientific article; zbMATH DE number 7448214
- Unit root quantile autoregression testing using covariates
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Cited in
(60)- Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
- Inference in a nearly integrated autoregressive model with nonnormal innovations
- Estimation and test for quantile nonlinear cointegrating regression
- Regression quantiles for unstable autoregressive models
- Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots
- Quantile inference for nonstationary processes with infinite variance innovations
- Quantile unit root inference for panel data with common shocks
- Nonparametric inference for quantile cointegrations with stationary covariates
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
- Quantile inference for moderate deviations from a unit root model with infinite variance
- Discriminant analysis by quantile regression with application on the climate change problem
- Finite sample inference for quantile regression models
- Unit root quantile autoregression testing using covariates
- On the serial correlation in multi-horizon predictive quantile regression
- The changing dynamics of US inflation persistence: a quantile regression approach
- Testing cointegration in quantile regressions with an application to the term structure of interest rates
- Selecting between causal and noncausal models with quantile autoregressions
- Estimation of non-crossing quantile regression curves
- Inference of the second order autoregressive model with unit roots
- Artifactual unit root behavior of value at risk (VaR)
- Dynamic quantile models
- A Note on Unit Root Tests with Infinite Variance Noise
- scientific article; zbMATH DE number 7448214 (Why is no real title available?)
- A Local Linear Least-Absolute-Deviations Estimator of Volatility
- Quantile self-exciting threshold autoregressive time series models
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- Dealing with Markov-switching parameters in quantile regression models
- A residual-based test for autocorrelation in quantile regression models
- Semi-parametric modelling of temperature records
- Averaged Autoregression Quantiles in Autoregressive Model
- Multivariate quantile impulse response functions
- Robust inference in nonstationary time series models
- Composite quantile estimation for moderate deviations from a unit root model with possibly infinite variance errors
- Boundedness of M-estimators for linear regression in time series
- A new Bayesian approach to quantile autoregressive time series model estimation and forecasting
- Quantile inference for near-integrated autoregressive times series with infinite variance
- Quantile Autoregression
- Nonstationary nonlinear quantile regression
- Testing for a unit root in a nonlinear quantile autoregression framework
- Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach
- Bayesian inference for quantile autoregressive model with explanatory variables
- Testing for explosive bubbles in the presence of non-Gaussian conditions
- Rank test of unit‐root hypothesis with AR‐GARCH errors
- Reprint: Hypothesis testing on high dimensional quantile regression
- Hypothesis testing on high dimensional quantile regression
- Nonparametric tests in linear model with autoregressive errors
- Polynomial power-Pareto quantile function models
- Long-tail longitudinal modeling of insurance company expenses
- Extreme Quantile Estimation for Autoregressive Models
- Inference in predictive quantile regressions
- Testing predictability of stock returns under quantile regression: A bootstrapping double-weighted approach
- A nonparametric test of heterogeneity in conditional quantile treatment effects
- Unemployment dynamics in the United Kingdom: a quarter-millennium perspective
- Quantile analysis for financial bubble detection and surveillance
- Bubbles and crashes: a tale of quantiles
- Dynamic economics with quantile preferences
- A historical perspective on India's inflation persistence: a quantile analysis
- qadf
- unitrootests
- Quantile cointegration in the autoregressive distributed-lag modeling framework
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