Quantile unit root test

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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
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quantile unit root-koenker and xiao.pdf
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TomDoan
Posts: 7814
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?
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