Impacts of returns on assets are not instantaneously felt, since there is lag period. In this paper we consider the problem of developing a model for the conditional QPDL （quantile polynomial distributed lag） and in...Impacts of returns on assets are not instantaneously felt, since there is lag period. In this paper we consider the problem of developing a model for the conditional QPDL （quantile polynomial distributed lag） and investigate the influences of the conditioning variables on the location, scale and shape parameters of the QPDL model. As an economic application, we consider the production of rubber and its price returns ofSri Lanka. From the analysis we observed that the QPDL model applications were better estimators than the PDL （Polynomial Distributed Lag） models.展开更多
文摘Impacts of returns on assets are not instantaneously felt, since there is lag period. In this paper we consider the problem of developing a model for the conditional QPDL （quantile polynomial distributed lag） and investigate the influences of the conditioning variables on the location, scale and shape parameters of the QPDL model. As an economic application, we consider the production of rubber and its price returns ofSri Lanka. From the analysis we observed that the QPDL model applications were better estimators than the PDL （Polynomial Distributed Lag） models.
