Unit root quantile autoregression testing with smooth structural changes
Unit root quantile autoregression testing with smooth structural changes
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 non-standard, a bootstrap procedure is developed to calculate their critical values. Monte Carlo simulation results show that, while Koenker and Xiao (2004) tests are quite conservative under various kinds of error distributions and structural changes, the newly proposed tests have good size performance except for a little size distortion occasionally. Moreover, our tests have much higher performance especially when the sample size is small.
83-89
Li, Haiqi
dbd3cfec-9fe8-4968-9032-6faa9b0fd358
Zheng, Chaowen
4ba693c1-6dd0-45b1-acf1-45bfb393f3fc
21 May 2018
Li, Haiqi
dbd3cfec-9fe8-4968-9032-6faa9b0fd358
Zheng, Chaowen
4ba693c1-6dd0-45b1-acf1-45bfb393f3fc
Li, Haiqi and Zheng, Chaowen
(2018)
Unit root quantile autoregression testing with smooth structural changes.
Finance Research Letters, 25, .
(doi:10.1016/j.frl.2017.10.008).
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 non-standard, a bootstrap procedure is developed to calculate their critical values. Monte Carlo simulation results show that, while Koenker and Xiao (2004) tests are quite conservative under various kinds of error distributions and structural changes, the newly proposed tests have good size performance except for a little size distortion occasionally. Moreover, our tests have much higher performance especially when the sample size is small.
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Accepted/In Press date: 11 October 2017
e-pub ahead of print date: 14 October 2017
Published date: 21 May 2018
Identifiers
Local EPrints ID: 484862
URI: http://eprints.soton.ac.uk/id/eprint/484862
ISSN: 1544-6123
PURE UUID: d306c6be-170b-4ecb-9f5b-259145299ca1
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Date deposited: 23 Nov 2023 17:54
Last modified: 18 Mar 2024 04:15
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Author:
Haiqi Li
Author:
Chaowen Zheng
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