发表日期：2020年4月15日

论文名称：Conditional quantile estimation for hysteretic autoregressive models

作者：Degao Li；Ruochen Zeng；张立文；Wai Keung Li；Guodong Li

摘要：The phenomenon of hysteresis has been observed in many economic time series, especially in unemployment rates. To study the hysteretic patterns at different quantiles, this study considers a conditional quantile estimation for hysteretic autoregressive models, and derives its asymptotic properties. Simulation experiments are conducted to evaluate the finite-sample performance of our method, and its usefulness is further demonstrated by an analysis of the growth rates of unemployment rates.