School of Economics

Alain Hecq (Maastricht University)

Location
C43 Sir Clive Granger
Date(s)
Thursday 14th March 2019 (16:00-17:00)
Description

Identification of noncausal models by quantile autoregressions (with A  Li Sun)

Abstract: We propose a model selection criterion to detect purely causal from noncausal models in the framework of quantile autoregression (QAR). We generalize the consistency result in the QAR to a generic case and the asymptomatic result to the case of i.i.d. regularly varying distributed innovations. This new modelling perspective is appealing for investigating the presence of bubbles in economic and financial time series. We illustrate our analysis using hyperination episodes in Latin American countries.

School of Economics

Sir Clive Granger Building
University of Nottingham
University Park
Nottingham, NG7 2RD

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