Regression Quantiles for Unstable Autoregressive Models

Shiqing Ling () and Michael McAleer

ISER Discussion Paper from Institute of Social and Economic Research, The University of Osaka

Abstract: 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.

Date: 2001-01
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https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/2001/dp0526.pdf

Related works:
Journal Article: Regression quantiles for unstable autoregressive models (2004)
Working Paper: Regression Quantiles for Unstable Autoregressive Models (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:dpr:wpaper:0526

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