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11 avril 2019
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- 1904.05952
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Economics - EconometricsSujets proches
Instruction and study--Methods Field guides Keys (Identification guides) Identification guides Hours (Time) Mechanical perspective Linear perspective Architectural perspective Modelmaking Modelling Model-making Molding (Clay, plaster, etc.) Clay modeling Modelling Forensic identification Case Pattern Model Economic theory Political economy Instruction and study--Methods Methods of analysis Analysis and chemistry Analytical methods Chemical analysis Analysis methods Analysis and examinationCiter ce document
Alain Hecq et al., « Identification of Noncausal Models by Quantile Autoregressions », arXiv - économie
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We propose a model selection criterion to detect purely causal from purely noncausal models in the framework of quantile autoregressions (QAR). We also present asymptotics for the i.i.d. case with regularly varying distributed innovations in QAR. This new modelling perspective is appealing for investigating the presence of bubbles in economic and financial time series, and is an alternative to approximate maximum likelihood methods. We illustrate our analysis using hyperinflation episodes in Latin American countries.
