Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1144715 | Journal of the Korean Statistical Society | 2015 | 15 Pages |
Abstract
The limit distribution of the quantile estimate for the moderate deviations from a unit root model with possibly infinite variance errors is derived. Both the mildly integrated case and the mildly explosive case are investigated. Quicker convergence rates than the ordinary least squares estimation are gained. Numerical simulations are conducted to illustrate the performance of our estimation procedure.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zhiyong Zhou, Zhengyan Lin,