Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Asymptotics of quantiles and rank scores in nonlinear time series
AU - Mukherjee, Kanchan
PY - 1999/3
Y1 - 1999/3
N2 - This paper extends the concept of regression and autoregression quantiles and rank scores to a very general nonlinear time series model. The asymptotic linearizations of these nonlinear quantiles are then used to obtain the limiting distributions of a class of L-estimators of the parameters. In particular, the limiting distributions of the least absolute deviation estimator and trimmed estimators are obtained. These estimators turn out to be asymptotically more ef®cient than the widely used conditional least squares estimator for heavy-tailed error distributions. The results are applicable to linear and nonlinear regression and autoregressive models including self-exciting threshold autoregressive models with known threshold.
AB - This paper extends the concept of regression and autoregression quantiles and rank scores to a very general nonlinear time series model. The asymptotic linearizations of these nonlinear quantiles are then used to obtain the limiting distributions of a class of L-estimators of the parameters. In particular, the limiting distributions of the least absolute deviation estimator and trimmed estimators are obtained. These estimators turn out to be asymptotically more ef®cient than the widely used conditional least squares estimator for heavy-tailed error distributions. The results are applicable to linear and nonlinear regression and autoregressive models including self-exciting threshold autoregressive models with known threshold.
KW - Nonlinear time series models
KW - SETAR models
KW - regression and autoregression
U2 - 10.1111/1467-9892.00132
DO - 10.1111/1467-9892.00132
M3 - Journal article
VL - 20
SP - 173
EP - 192
JO - Journal of Time Series Analysis
JF - Journal of Time Series Analysis
SN - 0143-9782
IS - 2
ER -