https://scholars.lib.ntu.edu.tw/handle/123456789/407630
標題: | Quantile Regression on Quantile Ranges - A Threshold Approach | 作者: | CHUNG-MING KUAN Michalopoulos, Christos Xiao, Zhijie |
關鍵字: | Quantile regression; threshold model; serial correlation; bahadur representation; confidence intervals for threshold parameter | 公開日期: | 2017 | 出版社: | WILEY-BLACKWELL | 卷: | 38 | 期: | 1 | 起(迄)頁: | 99 | 來源出版物: | JOURNAL OF TIME SERIES ANALYSIS | 摘要: | Copyright © 2016 John Wiley & Sons Ltd We study, via quantile regression, time series models whose conditional distribution may change over different quantile range of a threshold variable. We derive the limiting distribution of the estimated threshold parameter under the frameworks of asymptotically shrinking and fixed regime change magnitude. We construct confidence intervals for the estimated threshold parameter via a likelihood-ratio-type statistic and tabulate critical values, and by extensive simulation, we investigate their coverage probabilities. We also derive the Bahadur representation allowing for serially correlated errors and discuss related inference problems on threshold effects. Our asymptotic and simulation results complement the existing literature of Caner (2002), Galvao et al (2011, 2014) on threshold regression models. |
URI: | https://api.elsevier.com/content/abstract/scopus_id/84994663000 https://scholars.lib.ntu.edu.tw/handle/123456789/407630 |
ISSN: | 0143-9782 | DOI: | 10.1111/jtsa.12204 |
顯示於: | 財務金融學系 |
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