{"created":"2021-03-01T07:02:42.944126+00:00","id":42781,"links":{},"metadata":{"_buckets":{"deposit":"9245f831-2cf0-4470-9298-19042d0d0235"},"_deposit":{"id":"42781","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42781"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042781","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2003-03","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"2003-CF-205","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"This paper investigates regression quantiles(RQ) for unstable autoregressive models. This uniform Bahadur representation of the RQ process is obtained. The joint asymptotic distribution of the RQ process is derived in a unified manner for all types of characteristic roots on or outside the unit circle. It involves stochastic integrals in terms of a wequence of independent and identically distributed multivariate Brownian motions with correlated components. The related L-estimator is also discussed. The asymptotic distributions of the RQ and the L-estimator corresponding to the nonstationary componentwise arguments can be transformed into a function of a normal random variable and a sequence of i.i.d. univariate Brownian motions. This is different from the analysis based on the lSE in the literature. As an auxiliary theorem, a weak convergence of a randomly weighted residual empirical process to the stochastic integral of a Kiefer process is established. The results obtained in this paper provide an asymptotic theory for nonstationary time series processes, which can be used to construct robust unit root tests.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Journal of Multivariate Analysis. 掲載予定.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf205ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"330","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Hong Kong University of Science and Technology"},{"subitem_text_value":"University of Western Australia"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Ling, Shiqing"}],"nameIdentifiers":[{"nameIdentifier":"98372","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Michael, McAleer"}],"nameIdentifiers":[{"nameIdentifier":"98373","nameIdentifierScheme":"WEKO"}]}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Regression Quantiles for Unstable Autoregressive Models","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Regression Quantiles for Unstable Autoregressive Models"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42781","relation_version_is_last":true,"title":["Regression Quantiles for Unstable Autoregressive Models"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:43.326439+00:00"}