Unit root quantile autoregression testing using covariates

189 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis (2018, methodology): “975 Note: This table displays the persistence estimates ", and t-statistics of the quantile unit root test proposed by Koenker and Xiao (2004) and Galvao (2009). Bold values of t-statistics denote rejection of the null hypothesis H.”
Quantile cointegration in the autoregressive distributed-lag modeling framework (2015, background): “In a similar context, Koenker and Xiao (2004) and Galvao (2009) suggest that the stationary property of individual time series may change across quantiles.”