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 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 8 Decent Work and Economic Growth
Keywords
- Autoregression
- Conditional quantile estimation
- Hysteretic model
- Threshold model
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