Unit root quantile autoregression testing using covariates

Galvao, Antônio F.

doi:10.1016/j.jeconom.2009.01.007

Cited by 167 publications

(148 citation statements)

References 39 publications

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“…The test has been extended by Galvao (2009) to include deterministic components. In the following paragraphs we describe the technical details of the test.…”

Section: Methodsmentioning

confidence: 99%

Do large recessions reduce output permanently?

Hosseinkouchack

Wolters

2013

Economics Letters

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The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions lower real GDP permanently or whether we can expect a rebound to earlier trend levels. Using a recent quantile autoregression unit root test we check whether shocks to real GDP have permanent or temporary effects. In contrast to earlier studies this approach takes into account that the transmission of a shock might depend on the sign and the size of the shock. Large recessionary shocks might have a different effect than smaller recessionary or expansionary shocks.We do not only test the unit root hypothesis at the conditional mean of GDP, but also in the tails of the distribution where the lower tail corresponds to large recessions. The test has more power than conventional unit root tests. We find that positive and negative shocks including large recessionary shocks have permanent effects on output. Therefore, a rebound of GDP to its pre-crisis trend level is unlikely. Current output gap estimates based on deterministic trends are likely to be too negative and inflation forecasts based on these are likely to be too low. AbstractThe slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions lower real GDP permanently or whether we can expect a rebound to earlier trend levels. Using a recent quantile autoregression unit root test we check whether shocks to real GDP have permanent or temporary effects. In contrast to earlier studies this approach takes into account that the transmission of a shock might depend on the sign and the size of the shock. Large recessionary shocks might have a different effect than smaller recessionary or expansionary shocks. We do not only test the unit root hypothesis at the conditional mean of GDP, but also in the tails of the distribution where the lower tail corresponds to large recessions. The test has more power than conventional unit root tests. We find that positive and negative shocks including large recessionary shocks have permanent effects on output. Therefore, a rebound of GDP to its pre-crisis trend level is unlikely. Current output gap estimates based on deterministic trends are likely to be too negative and inflation forecasts based on these are likely to be too low.

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“…The test has been extended by Galvao (2009) to include deterministic components. In the following paragraphs we describe the technical details of the test.…”

Section: Methodsmentioning

confidence: 99%

Do large recessions reduce output permanently?

Hosseinkouchack

Wolters

2013

Economics Letters

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show abstract

“…This points to the gradual effect of policy changes on observed inflation dynamics. 9 While we see evidence for structural breaks, we do not know both the size and the sign of these shifts yet. Figures (1) and (2) showed a decrease in inflation persistence at the conditional median and mean of the inflation distribution only.…”

Section: Resultsmentioning

confidence: 69%

“…We use the quantile autoregression-based unit root test developed in Koenker and Xiao (2004) and Galvao (2009 Having estimated equation (3) To test H 0 : ρ (τ ) = 1 we use the t-stat for ρ (τ ) proposed by Koenker and Xiao (2004) which can be written as…”

Section: Quantile Autoregression-based Unit Root Testingmentioning

confidence: 99%

“…We follow the suggestions of Koenker and Xiao (2004) and Galvao (2009) to estimate the nuisance parameters.…”

Section: Quantile Autoregression-based Unit Root Testingmentioning

confidence: 99%

“…This allows us to examine whether changes in persistence are synchronized across inflation quantiles and whether shifts in persistence at the mean inflation rate are informative about the entire distribution of inflation outcomes. Third, we use the quantile autoregression unit root tests developed in Koenker and Xiao (2004) and Galvao (2009) to test whether inflation follows a unit root process-at different quantiles and globally-in the different regimes identified with the structural break tests.…”

Section: Introductionmentioning

confidence: 99%

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The changing dynamics of US inflation persistence: a quantile regression approach

Wolters¹,

Tillmann

2015

Studies in Nonlinear Dynamics &Amp; Econometrics

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We examine both the degree and the structural stability of inflation persistence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. As economic theory provides reasons for inflation persistence to differ across conditional quantiles, this is a potentially severe constraint. Conventional studies of inflation persistence cannot identify changes in persistence at selected quantiles that leave persistence at the mean of the distribution unchanged. Based on post-war US data we indeed find robust evidence for a structural break in persistence at all quantiles of the inflation process in the early 1980s. While prior to the 1980s inflation was not mean reverting, quantile autoregression based unit root tests suggest that since the end of the Volcker disinflation the unit root can be rejected at every quantile of the conditional inflation distribution.

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Do ESG disclosures lead to superior firm performance? A method of moments panel quantile regression approach

Veeravel,

Sadharma,

Kamaiah

2023

Corp Soc Responsibility Env

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We verify the effect of ESG disclosures on firm performance using NSE 500 index listed companies spanning from 2010 to 2020. The study employs a method‐of‐moments quantile regression approach to test whether ESG disclosures lead to superior firm performance. We find evidence that environmental, social, and governance disclosures positively influence firm performance. Higher quantiles of ESG disclosures are associated with better market performance (Tobin's Q), and the same lead to lower profitability (ROA). The present study suggests that companies aspiring to improve their financial performance may pay more attention to ESG disclosure practices.

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Unit root quantile autoregression testing using covariates

Cited by 167 publications

References 39 publications

Do large recessions reduce output permanently?

Do large recessions reduce output permanently?

The changing dynamics of US inflation persistence: a quantile regression approach

Do ESG disclosures lead to superior firm performance? A method of moments panel quantile regression approach

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