Quantile Granger Causality in the Presence of Instability
存在不稳定性时的分位数格兰杰因果检验
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…