Conditional quantile estimation for hysteretic autoregressive models

Degao LI, Ruochen ZENG, Liwen ZHANG, Wai Keung LI, Guodong LI

Research output: Contribution to journalArticles

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 languageEnglish
Pages (from-to)809-827
JournalStatistica Sinica
Volume30
Issue number2
DOIs
Publication statusPublished - 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.202017.0324

Keywords

  • Autoregression
  • Conditional quantile estimation
  • Hysteretic model
  • Threshold model

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