A time-varying quantile can be fitted to a sequence of observations by formulating a time series model for the corresponding population quantile and iteratively applying a suitably modified state space signal extraction algorithm. Quantiles estimated in this way provide information on various aspects of a time series, including dispersion, asymmetry and, for financial applications, value at risk. Tests for the constancy of quantiles, and associated contrasts, are constructed using indicator variables; these tests have a similar form to stationarity tests and, under the null hypothesis, their asymptotic distributions belong to the Cramér von Mises family. Estimates of the quantiles at the end of the series provide the basis for forecasting. As such they offer an alternative to conditional quantile autoregressions and, at the same time, give some insight into their structure and potential drawbacks.
|Date of creation:||Jul 2006|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.econ.cam.ac.uk/index.htm|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Koenker,Roger, 2005.
Cambridge University Press, number 9780521845731, November.
- Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-47, July.
- Keith Kuester & Stefan Mittnik & Marc S. Paolella, 2006. "Value-at-Risk Prediction: A Comparison of Alternative Strategies," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 53-89.
- Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.
- Jukka Nyblom & Andrew Harvey, 2001. "Testing against smooth stochastic trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 415-429.
- Jared Bernstein & Andrew Harvey, 2000.
"Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages,"
Econometric Society World Congress 2000 Contributed Papers
0861, Econometric Society.
- Andrew Harvey & Jared Bernstein, 2003. "Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages," The Review of Economics and Statistics, MIT Press, vol. 85(1), pages 141-152, February.
- Komunjer, Ivana, 2002.
"Quasi-Maximum Likelihood Estimation for Conditional Quantiles,"
1139, California Institute of Technology, Division of the Humanities and Social Sciences.
- Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999.
"Statistical algorithms for models in state space using SsfPack 2.2,"
Royal Economic Society, vol. 2(1), pages 107-160.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.
- Neil Shephard & Jurgen Doornik & Siem Jan Koopman, 1998. "Statistical algorithms for models in state space using SsfPack 2.2," Economics Series Working Papers 1998-W06, University of Oxford, Department of Economics.
- Len Umantsev & Victor Chernozhukov, 2001. "Conditional value-at-risk: Aspects of modeling and estimation," Empirical Economics, Springer, vol. 26(1), pages 271-292.
- Koenker, Roger & Xiao, Zhijie, 2006. "Quantile Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 980-990, September.
- Andrew Harvey & Siem Jan Koopman, 2000.
"Signal extraction and the formulation of unobserved components models,"
Royal Economic Society, vol. 3(1), pages 84-107.
- Harvey, A.C. & Koopman, S.J.M., 1999. "Signal Extraction and the Formulation of Unobserved Components Models," Discussion Paper 1999-44, Tilburg University, Center for Economic Research.
- de Jong, Robert M. & Amsler, Christine & Schmidt, Peter, 2007. "A robust version of the KPSS test based on indicators," Journal of Econometrics, Elsevier, vol. 137(2), pages 311-333, April.
- Neil Shephard, 2005.
Economics Series Working Papers
2005-W17, University of Oxford, Department of Economics.
- repec:cup:etheor:v:12:y:1996:i:5:p:793-813 is not listed on IDEAS
- Robert Engle & Simone Manganelli, 2000.
"CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles,"
Econometric Society World Congress 2000 Contributed Papers
0841, Econometric Society.
- Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
- Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?,"
8905, Michigan State - Econometrics and Economic Theory.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews, 1999.
"Testing When a Parameter Is on the Boundary of the Maintained Hypothesis,"
Cowles Foundation Discussion Papers
1229, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K, 2001. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Econometrica, Econometric Society, vol. 69(3), pages 683-734, May.
- Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(05), pages 793-813, December.
- James W. Taylor, 2005. "Generating Volatility Forecasts from Value at Risk Estimates," Management Science, INFORMS, vol. 51(5), pages 712-725, May.
- Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001.
"Testing and Comparing Value-at-Risk Measures,"
CIRANO Working Papers
- Harvey, Andrew & Streibel, Mariane, 1998. "Testing for a slowly changing level with special reference to stochastic volatility," Journal of Econometrics, Elsevier, vol. 87(1), pages 167-189, August.
- Durbin, James & Koopman, Siem Jan, 2001.
"Time Series Analysis by State Space Methods,"
Oxford University Press, number 9780198523543, December.
- Tom Doan, . "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Bosch, Ronald J. & Ye, Yinyu & Woodworth, George G., 1995. "A convergent algorithm for quantile regression with smoothing splines," Computational Statistics & Data Analysis, Elsevier, vol. 19(6), pages 613-630, June.
- Harvey, Andrew, 2006. "Forecasting with Unobserved Components Time Series Models," Handbook of Economic Forecasting, Elsevier.
When requesting a correction, please mention this item's handle: RePEc:cam:camdae:0649. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jake Dyer)
If references are entirely missing, you can add them using this form.