Quantile inference for moderate deviations from a unit root model with infinite variance

被引：3

作者：

Zhou, Zhiyong ^{[1
]}

Lin, Zhengyan ^{[1
]}

机构：

[1] Zhejiang Univ, Dept Math, Hangzhou 310027, Zhejiang, Peoples R China

来源：

JOURNAL OF THE KOREAN STATISTICAL SOCIETY | 2015年 / 44卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Moderate deviations from a unit root; Infinite variance; Quantile regression estimation; MILDLY EXPLOSIVE AUTOREGRESSION; LIMIT THEORY; THEOREM;

D O I：

10.1016/j.jkss.2014.09.004

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The limit distribution of the quantile estimate for the moderate deviations from a unit root model with possibly infinite variance errors is derived. Both the mildly integrated case and the mildly explosive case are investigated. Quicker convergence rates than the ordinary least squares estimation are gained. Numerical simulations are conducted to illustrate the performance of our estimation procedure. (C) 2014 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.

引用

页码：280 / 294

页数：15

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