Estimation and test for quantile nonlinear cointegrating regression
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- 作者：Haiqi Li ; lihaiqi00@hnu.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Chaowen Zheng zhengchaowen08@hnu.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Yu Guo Guoyu066@163.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：C12 ; C13 ; C22
- 刊名：Economics Letters
- 出版年：2016
- 出版时间：November 2016
- 年：2016
- 卷：148
- 期：Complete
- 页码：27-32
- 全文大小：414 K
文摘
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A quantile nonlinear cointegration model is proposed.
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The parameter estimator follows a nonstandard distribution asymptotically.
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A fully modified estimator and a test for linearity are developed.
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Monte Carlo results show that the test has good finite sample performance.