2019
DOI: 10.1017/s1365100519000063
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Quantile-Based Asymmetric Dynamics of Real GDP Growth

Abstract: This paper studies asymmetric dynamics of real GDP growth by estimating linear and nonlinear quantile persistence over different parts of the conditional distribution for six major developed economies. Several novel quantile-based hypotheses are motivated in this paper and tested for the steepness asymmetry of real GDP growth that hypothesizes that contractions are steeper than expansions. The empirical results show that quantile persistence is generally high at far lower tails, thus requiring much longer half… Show more

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Cited by 3 publications
(1 citation statement)
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“…An alternative is to use simultaneous linear quantile regressions (seeTokdar and Kadane 2012;Liu 2019) which assumes a base quantile function for all coefficients in a (reparametrized) regression model. The dependence structure of these coefficients and priors on parameters in the base quantile function are further assumed for simulation, model fitting and posterior distribution summary.…”
mentioning
confidence: 99%
“…An alternative is to use simultaneous linear quantile regressions (seeTokdar and Kadane 2012;Liu 2019) which assumes a base quantile function for all coefficients in a (reparametrized) regression model. The dependence structure of these coefficients and priors on parameters in the base quantile function are further assumed for simulation, model fitting and posterior distribution summary.…”
mentioning
confidence: 99%