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Estimation and test for quantile nonlinear cointegrating regression

Li, H., Zheng, C. and Guo, Y. (2016) Estimation and test for quantile nonlinear cointegrating regression. Economics Letters, 148. pp. 27-32. ISSN 0165-1765

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To link to this item DOI: 10.1016/j.econlet.2016.09.014


In order to investigate the nonlinear relationship among economic variables at each quantile level, this paper proposes a quantile nonlinear cointegration model in which the nonlinear relationship at each quantile level is approximated by a polynomial. The parameter estimator in the proposed model is shown to follow a nonstandard distribution asymptotically due to serial correlation and endogeneity. Therefore, this paper develops a fully modified estimator which follows a mixture normal distribution asymptotically. Moreover, a test statistic for the linearity and its asymptotic distribution are also derived. Monte Carlo results show that the proposed test has good finite sample performance.

Item Type:Article
Divisions:No Reading authors. Back catalogue items
ID Code:107085

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