• 论文 •

### 分位数单位根检验的拓展及其应用研究

• 出版日期:2017-05-15 发布日期:2017-05-16

### The Extension of Quantile Unit Root Test with Its Application

Si Dengkuiet al.

• Online:2017-05-15 Published:2017-05-16

Abstract: Capturing structural changes in the time series under different quantiles is of great significance to accurately identify dynamic behavior and distributed characters of data. This paper for the first time incorporates the Fourier function into current Quantile unit root test suggested by Koenker and Xiao (2004) to detect smooth unknown breaks, and thus to describe the dynamic features of data in different quantiles. Through constructing Fourier QKS statistic and simulating the critical value by using Monte Carlo method, this paper tests different sample size and power. The findings show that the Fourier Quantile unit root test has higher power in depicting the features of nonlinear deviation and dynamic adjustment for heavy-tailed distributed data. Finally, we use the Fourier Quantile unit root test to investigate the persistence of inflation and unemployment of China. The results show that the inflation rate is stationary process, but the unemployment rate contains a unit root. Our study provides some implications for extension and application of Quantile unit root test.