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Article: Conditional quantile estimation for hysteretic autoregressive models

TitleConditional quantile estimation for hysteretic autoregressive models
Authors
Li, DZeng, RZhang, LLi, WKLi, G
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?
DOI: http://dx.doi.org/10.5705/ss.202017.0324
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
1017-0405
2023 Impact Factor: 1.5
2023 SCImago Journal Rankings: 1.368
ISI Accession Number ID
WOS:000575676900012

 

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.naturepublished_or_final_version-
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.identifier.isiWOS:000575676900012-
dc.publisher.placeTaiwan, Republic of China-
dc.identifier.issnl1017-0405-

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