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- W3123651201 abstract "Xiao (2009) develops a novel estimation technique for quantile cointegrated time series by extending Phillips and Hanseni¯s (1990) semiparametric approach and Saikkoneni¯s (1991) parametrically augmented approach. This paper extends Pesaran and Shini¯s (1998) autoregressive distributed-lag approach into quantile regression by jointly analysing 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. Main utilities of this analysis are demonstrated through the empirical application to the dividend policy in the U.S." @default.
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- W3123651201 date "2014-11-01" @default.
- W3123651201 modified "2023-09-27" @default.
- W3123651201 title "Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework" @default.
- W3123651201 hasPublicationYear "2014" @default.
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