Selecting between causal and noncausal models with quantile autoregressions

DOI10.1515/snde-2019-0044OpenAlexW3089235090MaRDI QIDQ2700580

Alain Hecq, Li Sun

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0044

zbMATH Keywords

financial bubblesmodel selection criterioncausal and noncausal time seriesquantile autoregressionsregularly varying variables

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• itsmr
• ITSM2000

Cites Work

• Unnamed Item
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• NONCAUSAL VECTOR AUTOREGRESSION
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Instrumental Models and Indirect Encompassing
• Noncausal Autoregressions for Economic Time Series
• An Improved Algorithm for Discrete $l_1 $ Linear Approximation
• Local Explosion Modelling by Non-Causal Process
• Unit Root Quantile Autoregression Inference
• Quantile Autoregression

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