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- Publisher Website: 10.5705/ss.202017.0324
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Article: Conditional quantile estimation for hysteretic autoregressive models
Title | Conditional quantile estimation for hysteretic autoregressive models |
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Authors | |
Keywords | Autoregression conditional quantile estimation hysteretic model threshold model |
Issue Date | 2020 |
Publisher | Academia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/ |
Citation | Statistica Sinica, 2020, v. 30 n. 2, p. 809-827 How to Cite? |
Abstract | The phenomenon of hysteresis has been observed in many economic time series, especially in unemployment rates. To study the hysteretic patterns at different quantiles, this study considers a conditional quantile estimation for hysteretic autoregressive models, and derives its asymptotic properties. Simulation experiments are conducted to evaluate the finite-sample performance of our method, and its usefulness is further demonstrated by an analysis of the growth rates of unemployment rates. |
Persistent Identifier | http://hdl.handle.net/10722/286639 |
ISSN | 2023 Impact Factor: 1.5 2023 SCImago Journal Rankings: 1.368 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Li, D | - |
dc.contributor.author | Zeng, R | - |
dc.contributor.author | Zhang, L | - |
dc.contributor.author | Li, WK | - |
dc.contributor.author | Li, G | - |
dc.date.accessioned | 2020-09-04T13:28:25Z | - |
dc.date.available | 2020-09-04T13:28:25Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Statistica Sinica, 2020, v. 30 n. 2, p. 809-827 | - |
dc.identifier.issn | 1017-0405 | - |
dc.identifier.uri | http://hdl.handle.net/10722/286639 | - |
dc.description.abstract | The phenomenon of hysteresis has been observed in many economic time series, especially in unemployment rates. To study the hysteretic patterns at different quantiles, this study considers a conditional quantile estimation for hysteretic autoregressive models, and derives its asymptotic properties. Simulation experiments are conducted to evaluate the finite-sample performance of our method, and its usefulness is further demonstrated by an analysis of the growth rates of unemployment rates. | - |
dc.language | eng | - |
dc.publisher | Academia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/ | - |
dc.relation.ispartof | Statistica Sinica | - |
dc.subject | Autoregression | - |
dc.subject | conditional quantile estimation | - |
dc.subject | hysteretic model | - |
dc.subject | threshold model | - |
dc.title | Conditional quantile estimation for hysteretic autoregressive models | - |
dc.type | Article | - |
dc.identifier.email | Li, WK: hrntlwk@hkucc.hku.hk | - |
dc.identifier.email | Li, G: gdli@hku.hk | - |
dc.identifier.authority | Li, WK=rp00741 | - |
dc.identifier.authority | Li, G=rp00738 | - |
dc.description.nature | published_or_final_version | - |
dc.identifier.doi | 10.5705/ss.202017.0324 | - |
dc.identifier.scopus | eid_2-s2.0-85091953703 | - |
dc.identifier.hkuros | 313955 | - |
dc.identifier.volume | 30 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 809 | - |
dc.identifier.epage | 827 | - |
dc.identifier.isi | WOS:000575676900012 | - |
dc.publisher.place | Taiwan, Republic of China | - |
dc.identifier.issnl | 1017-0405 | - |