Selecting between causal and noncausal models with quantile autoregressions
Author:
Affiliation:
1. Maastricht University, School of Business and Economics, Department of Quantitative Economics , P.O.Box 616 , 6200 MD Maastricht , The Netherlands
Abstract
Publisher
Walter de Gruyter GmbH
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Analysis,Economics and Econometrics,Social Sciences (miscellaneous),Analysis
Link
https://www.degruyter.com/document/doi/10.1515/snde-2019-0044/pdf
Reference32 articles.
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2. Barrodale, I., and F. D. Roberts. 1973. “An Improved Algorithm for Discrete l1 Linear Approximation.” SIAM Journal on Numerical Analysis 10: 839–48, https://doi.org/10.1137/0710069.
3. Breid, F. J., R. A. Davis, K.-S. Lh, and M. Rosenblatt. 1991. “Maximum Likelihood Estimation for Noncausal Autoregressive Processes.” Journal of Multivariate Analysis 36: 175–98, https://doi.org/10.1016/0047-259x(91)90056-8.
4. Brockwell, P. J., and R. A. Davis. 2016. Introduction to Time Series and Forecasting. New York: Springer.
5. Brockwell, P. J., R. A. Davis, and S. E. Fienberg. 1991. Time Series: Theory and Methods. New York: Springer Science & Business Media.
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