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Quantile Autoregression for Censored Data

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  • Seokwoo Jake Choi
  • Stephen Portnoy

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  • Seokwoo Jake Choi & Stephen Portnoy, 2016. "Quantile Autoregression for Censored Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 603-623, September.
    • Handle: RePEc:bla:jtsera:v:37:y:2016:i:5:p:603-623
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    File URL: http://hdl.handle.net/10.1111/jtsa.12174
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    References listed on IDEAS

    as
    1. Koenker, Roger & Xiao, Zhijie, 2006. "Quantile Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 980-990, September.
    2. Portnoy, Stephen, 1991. "Asymptotic behavior of regression quantiles in non-stationary, dependent cases," Journal of Multivariate Analysis, Elsevier, vol. 38(1), pages 100-113, July.
    3. Weiss, Andrew A., 1991. "Estimating Nonlinear Dynamic Models Using Least Absolute Error Estimation," Econometric Theory, Cambridge University Press, vol. 7(1), pages 46-68, March.
    4. Marc Hallin & Jana Jureckova, 1999. "Optimal tests for autoregressive models based on autoregression rank scores," ULB Institutional Repository 2013/2089, ULB -- Universite Libre de Bruxelles.
    5. Stephen Portnoy & Guixian Lin, 2010. "Asymptotics for censored regression quantiles," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(1), pages 115-130.
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    Cited by:

    1. Jian Li & Jean‐Paul Chavas & Chongguang Li, 2022. "The dynamic effects of price support policy on price volatility: The case of the rice market in China," Agricultural Economics, International Association of Agricultural Economists, vol. 53(2), pages 307-320, March.
    2. Jau-er Chen & Masanori Kashiwagi, 2017. "The Japanese Taylor rule estimated using censored quantile regressions," Empirical Economics, Springer, vol. 52(1), pages 357-371, February.

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