T his paper is to examine the mean reverting properties of inflation rates for Iran’s 25 provinces over the period from 1990:4 to 2017:7. To the end, we use various conventional univariate linear and non-linear unit root tests, as well as quantile unit root test by Koenker and Xiao (2004). Results of conventional unit root tests indicate that the null hypothesis of the unit root test...

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...

We investigate the stationarity of daily real stock prices in 12 Asia-Pacific countries over period 1991–2020. The methodology employed is driven by need to address three key concerns: (i) identification association between size shocks and stationarity; (ii) different speeds adjustment towards long-run equilibrium; (iii) mean reversion potential asymmetric speed before after 2008–2009 global fi...

Consider a non-standard parametric estimation problem, such as the estimation of the AR(1) coefficient close to the unit root. We develop a numerical algorithm that determines an estimator that is nearly (mean or median) unbiased, and among all such estimators, comes close to minimizing a weighted average risk criterion. We demonstrate the usefulness of our generic approach by also applying it ...

The limiting distribution of the quantile estimate for the autoregressive coefficient of a near-integrated first order autoregressive model with infinite variance errors is derived. Since the limiting distribution depends on the unknown density function of the errors, an empirical likelihood ratio statistic is proposed from which confidence intervals can be constructed for the near unit root mo...

We examine the daily dependence and directional predictability between returns of crude oil Crude Oil Volatility Index (OVX). Unlike previous studies, we apply a battery quantile-based techniques, namely quantile unit root test, causality-in-quantiles cross-quantilogram approach. Our main results show evidence significant bi-directional that is quantile-dependent asymmetric. A positive Granger ...

This study undertakes a systematic literature review on recent developments in unit root tests. We highlight popular tests developed since 2010 based the number of citations. observe from that most test is Narayan and Popp least quantile nonlinear test, mainly because it was only recently. The use popularity recently can be judged after 5 to 10 years.

aim : to determine the associated factors of reflux duration, using quantile regression model. background : reflux is one of the most prevalent gastrointestinal disorders.  statistical tools are widely used to assess the associated factors on reflux severity and frequency. patients and methods : a door to door questionnaire has been used to evaluate gastrointestinal symptoms including reflux an...