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Regression Quantiles for Unstable Autoregressive Models

  • Ling, S.
  • McAleer, M.

This paper investigates regression quantiles (RQ) for unstable autoregressive models. The unifoem Bahadur representation of the RQ process is obtained. The joint asymptotic distribution of the RQ process is derived in a unified manner for all types of characteristic roots on or outside the unit circle.

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File URL: http://www.iser.osaka-u.ac.jp/library/dp/2001/dp0526.pdf
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Paper provided by Institute of Social and Economic Research, Osaka University in its series ISER Discussion Paper with number 0526.

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Length: 25 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:dpr:wpaper:0526
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  1. Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
  2. Peter C.B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers 1189, Cowles Foundation for Research in Economics, Yale University.
  3. M. N. Hasan & R. W. Koenker, 1997. "Robust Rank Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 65(1), pages 133-162, January.
  4. Phillips, P.C.B., 1989. "Partially Identified Econometric Models," Econometric Theory, Cambridge University Press, vol. 5(02), pages 181-240, August.
  5. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
  6. Bruce E. Hansen, 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Boston College Working Papers in Economics 300., Boston College Department of Economics.
  7. Herce, Miguel A., 1996. "Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors," Econometric Theory, Cambridge University Press, vol. 12(01), pages 129-153, March.
  8. van der Meer, Tjacco & Pap, Gyula & van Zuijlen, Martien C.A., 1999. "ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES," Econometric Theory, Cambridge University Press, vol. 15(02), pages 184-217, April.
  9. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  10. Lucas, André, 1995. "Unit Root Tests Based on M Estimators," Econometric Theory, Cambridge University Press, vol. 11(02), pages 331-346, February.
  11. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
  12. Jeganathan, P., 1991. "On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle," Econometric Theory, Cambridge University Press, vol. 7(03), pages 269-306, September.
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