کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5095987 | 1376495 | 2015 | 20 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Quantile cointegration in the autoregressive distributed-lag modeling framework Quantile cointegration in the autoregressive distributed-lag modeling framework](/preview/png/5095987.png)
Xiao (2009) develops a novel estimation technique for quantile cointegrated time series by extending Phillips and Hansen's (1990) semiparametric approach and Saikkonen's (1991) parametrically augmented approach. This paper extends Pesaran and Shin's (1998) autoregressive distributed-lag approach into quantile regression by jointly analyzing short-run dynamics and long-run cointegrating relationships across a range of quantiles. We derive the asymptotic theory and provide a general package in which the model can be estimated and tested within and across quantiles. We further affirm our theoretical results by Monte Carlo simulations. The main utilities of this analysis are demonstrated through the empirical application to the dividend policy in the US.
Journal: Journal of Econometrics - Volume 188, Issue 1, September 2015, Pages 281-300