Testing for Granger-causality in quantiles
Author:
Affiliation:
1. Department of Applied Economics, Universitat de les Illes Balears, Spain
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/07474938.2016.1172400
Reference35 articles.
1. Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
2. Consistent model specification tests
3. Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality
4. A causality-in-variance test and its application to financial market prices
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