Quantile Autoregression

This is an archive page for two papers with Zhijie Xiao titled
Quantile Autoregression
and
Unit Root Quantile Autoregression Inference

A preliminary version of the former paper is available in ps. Or in pdf.
The latter paper is forthcoming in JASA and available in ps. Or in pdf.
Slides for a talk in Rio are available here.
Comments are, of course, always welcome. Problems or questions should be directed to roger@ysidro.econ.uiuc.edu