Alexander Mayer, Dominik Wied, Victor Troster
arXiv 15 Feb 2024 · Econometrics · publishedJournal of Econometrics (2025) · 6 citations (OpenAlex)
arXiv:2402.09744 · PDF · DOI · OpenAlex · Extracted main text
We propose a new framework for assessing Granger causality in quantiles in unstable environments, for a fixed quantile or over a continuum of quantile levels. Our proposed test statistics are consistent against fixed alternatives, they have nontrivial power against local alternatives, and they are pivotal in certain important special cases. In addition, we show the validity of a bootstrap procedure when asymptotic distributions depend on nuisance parameters. Monte Carlo simulations reveal that the proposed test statistics have correct empirical size and high power, even in absence of structural breaks. Moreover, a procedure providing additional insight into the timing of Granger causal regimes based on our new tests is proposed. Finally, an empirical application in energy economics highlights the applicability of our method as the new tests provide stronger evidence of Granger causality.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Rossi, B (2005) Optimal Tests for Nested Model Selection with Underlying Parameter Instability | 1.000 | 9 | 3 | 100% |
| 2 | Qu, Z (2008) Testing for Structural Change in Regression Quantiles | 0.874 | 9 | 3 | 67% |
| 3 | Ding, H., H.-G. Kim, and S. Y. Park (2016) Crude Oil and Stock Markets: Causal Relationships in Tails? | 0.874 | 8 | 2 | 100% |
| 4 | Oka, T. and Z. Qu (2011) Estimating Structural Changes in Regression Quantiles | 0.874 | 5 | 2 | 100% |
| 5 | Koenker, R. and J. A. F. Machado (1999) Goodness of Fit and Related Inference Processes for Quantile Regression | 0.843 | 4 | 3 | 75% |
| 6 | Rothe, C. and D. Wied (2013) Misspecification Testing in a Class of Conditional Distributional Models | 0.737 | 3 | 3 | 67% |
| 7 | Koenker, R (2005) Quantile Regression | 0.737 | 3 | 2 | 100% |
| 8 | Sowell, F (1996) Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework | 0.737 | 3 | 2 | 100% |
| 9 | Troster, V (2018) Testing for Granger-Causality in Quantiles self | 0.644 | 2 | 2 | 100% |
| 10 | Wied, D., W. Krämer, and H. Dehling (2012) Testing for a change in correlation at an unknown point in time using an extended functional delta method self | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 46 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Local Gaussian copula inference with structural breaks: testing dependence predictability | 0.928 | 4 | 4 |