Quantile cointegrating regression
By Zhijie Xiao. 2009
401 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/f77db58f6c417cab6eab58cb44d9acf9c5515fed
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Muhammad Shahbaz
- Avik Sinha
- Arshian Sharif
- Ilhan Ozturk
- Gazi Salah Uddin
- Kittisak Jermsittiparsert
- D. Godil
- Victor Troster
In Finance
- Ilhan Ozturk
- Arshian Sharif
- Muhammad Shahbaz
- Kittisak Jermsittiparsert
- D. Godil
- Avik Sinha
- Victor Troster
- Ji Hyung Lee
Citations in the corpus
- Quantile cointegration in the autoregressive distributed-lag modeling framework (2015, methodology): “Furthermore, we compare the performance of the Wald test relative to the augmented-model based Wald test considered by Xiao (2009) using the case of unknown lag order.”
- Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis (2018, methodology): “Following Saikkonen (1991), Xiao (2009) decomposes the errors of the cointegrating equation into lead-lag terms and a pure innovation component, to deal with the endogeneity in standard cointegration models.”
- How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique (2020, background): “Analysis of asymmetries is the main advantage of QARDL over linear ARDL (Xiao, 2009).”
- Predictive quantile regression with persistent covariates: IVX-QR approach (2015, methodology): “This coverage conveniently encompasses existing results for unit root (Xiao, 2009) and near unit root (Maynard et al., 2011) predictor cases.”
- Revisiting the role of renewable and non-renewable energy consumption on Turkey’s ecological footprint: Evidence from Quantile ARDL approach (2020, methodology): “In addition, Xiao [55] extends the cointegration methodology to quantile regressions.”
- Quantile coherency: A general measure for dependence between cyclical economic variables (2015, neutral): “2) can be employed to obtain asymptotically valid pointwise confidence bands. To this end, the covariance kernel of L can easily be determined from (4.3) and (4.5), yielding an expression similar to (7.6.16) in Brillinger (1975). A more detailed account of how to conduct inference is given in Sectio”