The DOI matches its Crossref record; 28 of the 28 references it cites were found in a registry or an index.
Testing for Granger-causality in quantiles
Abstract
This paper proposes a consistent parametric test of Granger-causality in quantiles. Although the concept of Granger-causality is defined in terms of the conditional distribution, most articles have tested Granger-causality using conditional mean regression models in which the causal relations are linear. Rather than focusing on a single part of the conditional distribution, we develop a test that evaluates nonlinear causalities and possible causal relations in all conditional quantiles, which provides a sufficient condition for Granger-causality when all quantiles are considered. The proposed test statistic has correct asymptotic size, is consistent against fixed alternatives, and has power against Pitman deviations from the null hypothesis. As the proposed test statistic is asymptotically nonpivotal, we tabulate critical values via a subsampling approach. We present Monte Carlo evidence and an application considering the causal relation between the gold price, the USD/GBP exchange rate, and the oil price.
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Cites
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Goodness of Fit and Related Inference Processes for Quantile Regression
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Sharif, A., Baris-Tuzemen, O., Uzuner, G., Ozturk, I., & Sinha, A. (2020) · Sustainable Cities and Society · doi:10.1016/j.scs.2020.102138 · Cited by 803
The role of green finance in reducing CO2 emissions: An empirical analysis
Saeed Meo, M., & Karim, M. Z. A. (2022) · Borsa Istanbul Review · doi:10.1016/j.bir.2021.03.002 · Cited by 599
Oil price shocks, geopolitical risks, and green bond market dynamics
Lee, C.-C., Lee, C.-C., & Li, Y.-Y. (2021) · The North American Journal of Economics and Finance · doi:10.1016/j.najef.2020.101309 · Cited by 341
Sharif, A., Mishra, S., Sinha, A., Jiao, Z., Shahbaz, M., & Afshan, S. (2020) · Renewable Energy · doi:10.1016/j.renene.2019.12.149 · Cited by 339
Hung, N. T. (2023) · Technological Forecasting and Social Change · doi:10.1016/j.techfore.2022.122185 · Cited by 210
Metadata
- Authors
- Troster, V.
- Venue
- Econometric Reviews
- Publisher
- Informa UK Limited
- Published
- 2016-06-04
- Volume
- 37
- Issue
- 8
- Pages
- 850-866
- ISSN
- 0747-4938 (ISSN-L)
- 1532-4168
- OpenAlex
- W2326271485
- Cited by
- 357
- References
- 28
- FWCI
- 7.71
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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