The RATS Software Forum

Hello,

I was wondering if there are codes for the Quantile unit root test by Koenker and Xiao (2004). Basically, the test is an extension to the standard ADF unit root test. The tricky part (at lease for me) is simulating the t-values and their p-values. Any help is highly appreciated.

Thanks,
Sal

Dear Tom, Thank you for the response. I have managed to get through all the tests, except the test in equation (6): ∆v_t=ρv_(t-1) (1-exp(-θΔv_(t-i)^2 ) )+∑_(j=1)^p▒〖α_j Δv_(t-j)+u_t 〗 This is basically a unit root test for the null ρ=0. The difficulty (for me) in applying this test is that the follo...

I need to implement the unit root test of Dimitris K. Christopoulos and Miguel A. Leon-Ledesma in their paper “Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates”, published in the Journal of International Money and Finance Volume 29, Issue 6, October 2010, Pages 107...