Linear double autoregression

doi:10.1016/j.jeconom.2018.05.006

CORC > 上海财经大学 > 上海财经大学

	Linear double autoregression
	Zhu, Qianqian 1; Zheng, Yao 2; Li, Guodong 2
刊名	JOURNAL OF ECONOMETRICS
	2018-11
卷号	207 期号:1 页码:162-174
关键词	Conditional quantile estimation Goodness-of-fit test Heavy tail Nonlinear time series model Stationary solution
ISSN号	0304-4076
DOI	10.1016/j.jeconom.2018.05.006
英文摘要	This paper proposes the linear double autoregression, a conditional heteroscedastic model with a conditional mean structure but compatible with the quantile regression. The existence of a strictly stationary solution is discussed, for which a necessary and sufficient condition is established. A doubly weighted quantile regression estimation procedure is introduced, where the first set of weights ensures the asymptotic normality of the estimator and the second set improves its efficiency through balancing individual quantile regression estimators across multiple quantile levels. Bayesian information criteria are proposed for model selection, and two goodness-of-fit tests are constructed to check the adequacy of the fitted conditional mean and conditional scale structures. Simulation studies indicate that the proposed inference tools perform well in finite samples, and an empirical example illustrates the usefulness of the new model. (C) 2018 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000447479900008
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/483]
专题	上海财经大学
通讯作者	Zheng, Yao
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China; 2.Univ Hong Kong, Dept Stat & Actuarial Sci, Pokfulam Rd, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Zhu, Qianqian,Zheng, Yao,Li, Guodong. Linear double autoregression[J]. JOURNAL OF ECONOMETRICS,2018,207(1):162-174.
APA	Zhu, Qianqian,Zheng, Yao,&Li, Guodong.(2018).Linear double autoregression.JOURNAL OF ECONOMETRICS,207(1),162-174.
MLA	Zhu, Qianqian,et al."Linear double autoregression".JOURNAL OF ECONOMETRICS 207.1(2018):162-174.