Conditional Quantile Polynomial Distributed Lag Model with an Application to Rubber Price Returns  

作　　者：Kwadwo Agyei Nyantakyi 

机构地区：[1]Ghana Institute of Management and Public Administration (GIMPA), Greenhill College, Business School, Box AH 50, AchimotaAccra, Ghana

出　　处：《Journal of Physical Science and Application》2015年第2期108-115,共8页物理科学与应用（英文版）

摘　　要：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.

关 键 词：Asset returns PERCENTILES parameter estimators production. 

分 类 号：TP317[自动化与计算机技术—计算机软件与理论] O174.14[自动化与计算机技术—计算机科学与技术]