Selecting between causal and noncausal models with quantile autoregressions
Alain Hecq and Li Sun
| Year of publication: |
2021
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| Authors: | Hecq, Alain W. J. ; Sun, Li |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 25.2021, 5, p. 393-416
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| Subject: | causal and noncausal time series | financial bubbles | model selection criterion | quantile autoregressions | regularly varying variables | Zeitreihenanalyse | Time series analysis | Kausalanalyse | Causality analysis | Schätztheorie | Estimation theory | Spekulationsblase | Bubbles |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2019-0044 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012806552