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Time-varying multivariate causal processes

Author

Listed:
  • Gao, Jiti
  • Peng, Bin
  • Wu, Wei Biao
  • Yan, Yayi

Abstract

In this paper, we consider a wide class of time-varying multivariate causal processes that nests many classical and new examples as special cases. We first show the existence of a weakly dependent stationary approximation to initiate our theoretical investigation. We then consider a quasi-maximum likelihood estimation (QMLE), and provide both point-wise and uniform inferences to coefficient functions of interest. The theoretical findings are further examined through extensive simulations. Finally, we show empirical relevance of our study by evaluating both temporal and contemporaneous connectedness between the stock markets of China and U.S.

Suggested Citation

  • Gao, Jiti & Peng, Bin & Wu, Wei Biao & Yan, Yayi, 2024. "Time-varying multivariate causal processes," Journal of Econometrics, Elsevier, vol. 240(1).
    • Handle: RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174
    DOI: 10.1016/j.jeconom.2024.105671
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    More about this item

    Keywords

    Local linear quasi-maximum likelihood estimation; Multivariate causal process; Uniform confidence band;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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