Threshold quantile autoregressive models
Threshold quantile autoregressive models
This article studies estimation and asymptotic properties of Threshold Quantile Autoregressive processes. In particular, we show the consistency of the threshold and slope parameter estimators for each quantile and regime, and derive the asymptotic normality of the slope parameter estimators. A Monte Carlo experiment shows that the standard ordinary least squares estimation method is not able to detect important nonlinearities produced in the quantile process. The empirical study concentrates on modelling the dynamics of the conditional distribution of unemployment growth after the second world war. The results show evidence of important heterogeneity associated with unemployment and strong asymmetric persistence of unemployment growth in the higher quantiles
253-267
Galvao, Antonio F.
6f2af55a-e340-404e-a787-cb2f90c87ebd
Montes-Rojas, Gabriel
69548d5d-9e1f-4f6c-8453-6c2675b8dc21
Olmo, Jose
706f68c8-f991-4959-8245-6657a591056e
May 2011
Galvao, Antonio F.
6f2af55a-e340-404e-a787-cb2f90c87ebd
Montes-Rojas, Gabriel
69548d5d-9e1f-4f6c-8453-6c2675b8dc21
Olmo, Jose
706f68c8-f991-4959-8245-6657a591056e
Galvao, Antonio F., Montes-Rojas, Gabriel and Olmo, Jose
(2011)
Threshold quantile autoregressive models.
Journal of Time Series Analysis, 32 (3), .
(doi:10.1111/j.1467-9892.2010.00696.x).
Abstract
This article studies estimation and asymptotic properties of Threshold Quantile Autoregressive processes. In particular, we show the consistency of the threshold and slope parameter estimators for each quantile and regime, and derive the asymptotic normality of the slope parameter estimators. A Monte Carlo experiment shows that the standard ordinary least squares estimation method is not able to detect important nonlinearities produced in the quantile process. The empirical study concentrates on modelling the dynamics of the conditional distribution of unemployment growth after the second world war. The results show evidence of important heterogeneity associated with unemployment and strong asymmetric persistence of unemployment growth in the higher quantiles
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e-pub ahead of print date: October 2010
Published date: May 2011
Organisations:
Economics
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Local EPrints ID: 348560
URI: http://eprints.soton.ac.uk/id/eprint/348560
PURE UUID: 3c0d112c-f0de-42eb-bd42-e2aef6e1703e
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Date deposited: 15 Feb 2013 10:19
Last modified: 15 Mar 2024 03:46
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Author:
Antonio F. Galvao
Author:
Gabriel Montes-Rojas
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