Abstract
The phenomenon of hysteresis has been observed in many economic time series, especially in unemployment rates. To study the hysteretic patterns at different quantiles, this study considers a conditional quantile estimation for hysteretic autoregressive models, and derives its asymptotic properties. Simulation experiments are conducted to evaluate the finite-sample performance of our method, and its usefulness is further demonstrated by an analysis of the growth rates of unemployment rates. Copyright © 2020 Institute of Statistical Science, Academia Sinica.
| Original language | English |
|---|---|
| Pages (from-to) | 809-827 |
| Journal | Statistica Sinica |
| Volume | 30 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - Apr 2020 |
Citation
Li, D., Zeng, R., Zhang, L., Li, W. K., & Li, G. (2020). Conditional quantile estimation for hysteretic autoregressive models. Statistica Sinica, 30(2), 809-827. doi: 10.5705/ss.202017.0324Keywords
- Autoregression
- Conditional quantile estimation
- Hysteretic model
- Threshold model
