2 citations · 2 across the 2 of their papers we have counts for
2 papers
econ.EM2021
Adaptive Random Bandwidth for Inference in CAViaR Models
Alain Hecq, Li Sun
This paper investigates the size performance of Wald tests for CAViaR models (Engle and Manganelli, 2004). We find that the usual estimation strategy on test statistics yields inac…
econ.EM2019★ 2 cited
Identification of Noncausal Models by Quantile Autoregressions
Alain Hecq, Li Sun
We propose a model selection criterion to detect purely causal from purely noncausal models in the framework of quantile autoregressions (QAR). We also present asymptotics for the…