Abstract Under the mildly integrated and the mildly explosive cases, the asymptotic distributions of composite quantile estimation for moderate deviations from a unit root model with possibly infinite variance errors are obtained, respectively. Some simulation studies are also given to show that the composite quantile estimation has a good performance.
NI Jia-lin, FU Ke-ang. Composite quantile estimation for moderate deviations from a unit root model with possibly infinite variance errors. Applied Mathematics A Journal of Chinese Universities, 2017, 32(1): 41-48.
