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Article: Conditional quantile estimation for hysteretic autoregressive models

TitleConditional quantile estimation for hysteretic autoregressive models
Authors
KeywordsAutoregression
conditional quantile estimation
hysteretic model
threshold model
Issue Date2020
PublisherAcademia 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?
AbstractThe 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 Identifierhttp://hdl.handle.net/10722/286639
ISSN
2019 Impact Factor: 0.968
2015 SCImago Journal Rankings: 2.292

 

DC FieldValueLanguage
dc.contributor.authorLi, D-
dc.contributor.authorZeng, R-
dc.contributor.authorZhang, L-
dc.contributor.authorLi, WK-
dc.contributor.authorLi, G-
dc.date.accessioned2020-09-04T13:28:25Z-
dc.date.available2020-09-04T13:28:25Z-
dc.date.issued2020-
dc.identifier.citationStatistica Sinica, 2020, v. 30 n. 2, p. 809-827-
dc.identifier.issn1017-0405-
dc.identifier.urihttp://hdl.handle.net/10722/286639-
dc.description.abstractThe 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.languageeng-
dc.publisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/-
dc.relation.ispartofStatistica Sinica-
dc.subjectAutoregression-
dc.subjectconditional quantile estimation-
dc.subjecthysteretic model-
dc.subjectthreshold model-
dc.titleConditional quantile estimation for hysteretic autoregressive models-
dc.typeArticle-
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hk-
dc.identifier.emailLi, G: gdli@hku.hk-
dc.identifier.authorityLi, WK=rp00741-
dc.identifier.authorityLi, G=rp00738-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.5705/ss.202017.0324-
dc.identifier.scopuseid_2-s2.0-85091953703-
dc.identifier.hkuros313955-
dc.identifier.volume30-
dc.identifier.issue2-
dc.identifier.spage809-
dc.identifier.epage827-
dc.publisher.placeTaiwan, Republic of China-

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