Cover Image

Quantile Granger Causality in the Presence of Instability

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Mayer, Alexander, Wied, Dominik, Troster, Victor
Format:	Preprint
Published:	2024
Subjects:	Econometrics
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Endogeneity Corrections in Binary Outcome Models with Nonlinear Transformations: Identification and Inference
by: Mayer, Alexander, et al.
Published: (2024)

Local Gaussian copula inference with structural breaks: testing dependence predictability
by: Mayer, Alexander, et al.
Published: (2026)

Practically significant differences between conditional distribution functions
by: Dette, Holger, et al.
Published: (2025)

High-Dimensional Granger Causality for Climatic Attribution
by: Friedrich, Marina, et al.
Published: (2023)

Granger Causality in Expectiles: an M-vine copula test
by: Fuentes-Martínez, Roberto, et al.
Published: (2026)

Causal mechanism and mediation analysis for macroeconomics dynamics: a bridge of Granger and Sims causality
by: Dufour, Jean-Marie, et al.
Published: (2025)

Re-examining Granger Causality with Causal Bayesian Networks and Reichenbachs Principles
by: Adedayo, S. A.
Published: (2025)

Sparse VARs Do Not Imply Sparse Local Projections: Robust Inference for High-Dimensional Granger Causality
by: Dettaa, Eugene, et al.
Published: (2024)

Unconditional Quantile Partial Effects via Conditional Quantile Regression
by: Alejo, Javier, et al.
Published: (2023)

Modeling the Happiness-Sustainability Nexus via Graphical Lasso and Quantile-on-Quantile Regression
by: Chaouch, Mohamed, et al.
Published: (2025)

Making Event Study Plots Honest: A Functional Data Approach to Causal Inference
by: Fang, Chencheng, et al.
Published: (2025)

Composite Quantile Factor Model
by: Huang, Xiao
Published: (2023)

Inference in Predictive Quantile Regressions
by: Maynard, Alex, et al.
Published: (2023)

Quantile Peer Effect Models
by: Houndetoungan, Aristide
Published: (2025)

Non-linear dependence and Granger causality: A vine copula approach
by: Fuentes-Martínez, Roberto, et al.
Published: (2024)

Fast Algorithms for Quantile Regression with Selection
by: Pereda-Fernández, Santiago
Published: (2024)

Sensitivity Analysis in Unconditional Quantile Effects
by: Martinez-Iriarte, Julian
Published: (2023)

Consistent Specification Test of the Quantile Autoregression
by: Phella, Anthoulla
Published: (2020)

Variable Selection in High Dimensional Linear Regressions with Parameter Instability
by: Chudik, Alexander, et al.
Published: (2023)

Estimation and inference in models with multiple behavioural equilibria
by: Mayer, Alexander, et al.
Published: (2025)

Fused LASSO as Non-Crossing Quantile Regression
by: Szendrei, Tibor, et al.
Published: (2024)

Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression
by: Cornell, Cameron, et al.
Published: (2024)

Multi-Band Variable-Lag Granger Causality: A Unified Framework for Causal Time Series Inference across Frequencies
by: Sookkongwaree, Chakattrai, et al.
Published: (2025)

Matrix Quantile Factor Model
by: Kong, Xin-Bing, et al.
Published: (2022)

Single-Index Quantile Factor Model with Observed Characteristics
by: Xu, Ruofan, et al.
Published: (2025)

Distributional Effects in Censored Quantile Regressions with Endogeneity and Heteroskedasticity
by: Wang, Xi
Published: (2026)

Partitioned Wild Bootstrap for Panel Data Quantile Regression
by: Galvao, Antonio F., et al.
Published: (2025)

Minimum Distance Estimation of Quantile Panel Data Models
by: Melly, Blaise, et al.
Published: (2025)

Endogenous Quantile Regression with Measurement Error in Dependent Variable
by: Su, Xuanjing
Published: (2026)

A Quantile Nelson-Siegel model
by: Iacopini, Matteo, et al.
Published: (2024)

Quantile Vector Autoregression without Crossing
by: Ando, Tomohiro, et al.
Published: (2026)

Quantile optimization in semidiscrete optimal transport
by: Zhu, Yinchu, et al.
Published: (2026)

Panel Quantile Regression with Common Shocks
by: Chiang, Harold D., et al.
Published: (2026)

Quantile and Distribution Treatment Effects on the Treated with Possibly Non-Continuous Outcomes
by: Djuazon, Nelly K., et al.
Published: (2024)

Predictive Quantile Regression with High-Dimensional Predictors: The Variable Screening Approach
by: Chen, Hongqi, et al.
Published: (2024)

Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models
by: Katsouris, Christis
Published: (2023)

Multiply-Robust Causal Change Attribution
by: Quintas-Martinez, Victor, et al.
Published: (2024)

Gradient Wild Bootstrap for Instrumental Variable Quantile Regressions with Weak and Few Clusters
by: Wang, Wenjie, et al.
Published: (2024)

Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting
by: Takahashi, Makoto, et al.
Published: (2024)

Cautions on Tail Index Regressions and a Comparative Study with Extremal Quantile Regression
by: Yang, Thomas T.
Published: (2025)