Quantile unit root test

If you are seeking RATS code for implementing a particular technique or replicating results from a paper, post your request here. Be sure to include complete citations for any papers or books.
Post Reply
Salnusair
Posts: 3
Joined: Sun Feb 07, 2016 12:08 am

Quantile unit root test

Unread post by Salnusair »

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
Attachments
quantile unit root-koenker and xiao.pdf
(218.03 KiB) Downloaded 969 times
Top
TomDoan
Posts: 7826
Joined: Wed Nov 01, 2006 4:36 pm

Re: Qunatile unit root test

Unread post by TomDoan »

If you can do the test, can't you relatively easily do the simulations of it?
Top
Post Reply

Return to “Looking for Code?”