Unit root quantile autoregression testing with smooth structural changes
Haiqi Li and
Finance Research Letters, 2018, vol. 25, issue C, 83-89
By incorporating the flexible Fourier form into quantile autoregression model, this paper proposes three new unit root test statistics, which are robust to both non-Gaussian condition and structural changes. Since their limiting distributions are non-standard, a bootstrap procedure is developed to calculate their critical values. Monte Carlo simulation results show that, while Koenker and Xiao (2004) tests are quite conservative under various kinds of error distributions and structural changes, the newly proposed tests have good size performance except for a little size distortion occasionally. Moreover, our tests have much higher performance especially when the sample size is small.
Keywords: Unit root test; Quantile autoregression; Flexible fourier form; Structural changes (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:25:y:2018:i:c:p:83-89
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