Unit Root Quantile Autoregression Inference
نویسندگان
چکیده
منابع مشابه
Unit Root Quantile Autoregression Inference
We study statistical inference in quantile autoregression models when the largest autoregressive coefficient may be unity. The limiting distribution of a quantile autoregression estimator and its t-statistic is derived. The asymptotic distribution is not the conventional Dickey-Fuller distribution, but a linear combination of the Dickey-Fuller distribution and the standard normal, with the weig...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2004
ISSN: 0162-1459,1537-274X
DOI: 10.1198/016214504000001114