Unit root quantile autoregression testing with smooth structural changes
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DOI: 10.1016/j.frl.2017.10.008
Abstract: Abstract 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… read more here.
Keywords: structural changes; root quantile; unit root; quantile autoregression ... See more keywords