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Unit root quantile autoregression testing with smooth structural changes

Li, H. and Zheng, C. (2018) Unit root quantile autoregression testing with smooth structural changes. Finance Research Letters, 25. pp. 83-89. ISSN 1544-6123

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To link to this item DOI: 10.1016/


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.

Item Type:Article
Divisions:No Reading authors. Back catalogue items
ID Code:107082

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