INVESTIGADORES
MONTES ROJAS Gabriel Victorio
congresos y reuniones científicas
Título:
Threshold Quantile Autoregressive Models
Autor/es:
GALVAO, ANTONIO; MONTES ROJAS, GABRIEL VICTORIO; OLMO, JOSE
Lugar:
Tokyo, Japón
Reunión:
Conferencia; 2009 Far East and South Asian Meeting of the Econometric Society. Tokyo, August 2009.; 2009
Institución organizadora:
Econometric Society
Resumen:
We study in this article threshold quantile autoregressive processes. In particular we propose estimation and inference of the parameters in nonlinear quantile processes when the threshold parameter defining nonlinearities is known for each quantile, and also when the parameter vector is estimated consistently. We derive the asymptotic properties of the nonlinear threshold quantile autoregressive estimator. In addition, we develop hypothesis tests for detecting threshold nonlinearities in the quantile process when the threshold parameter vector is not identified under the null hypothesis. In this case we propose to approximate the asymptotic distribution of the composite test using a p-value transformation. This test contributes to the literature on nonlinearity tests by extending Hansen’s (Econometrica, 64, pp.413-430) methodology for the conditional mean process to the entire quantile process. We apply the proposed methodology to model the dynamics of US unemployment growth after the second world war. The results show evidence of important heterogeneity associated with unemployment, and strong asymmetric persistence on unemployment growth.