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

被引：0

作者：

Zhiyong Zhou

Zhengyan Lin

机构：

[1] Zhejiang University,Department of Mathematics

来源：

Journal of the Korean Statistical Society | 2015年 / 44卷

关键词：

60F05; 62F12; Moderate deviations from a unit root; Infinite variance; Quantile regression estimation;

D O I：

暂无

中图分类号：

学科分类号：

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.

引用

页码：280 / 294

页数：14

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