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Linking Granger causality and the Pearl Causal Model with settable systems

White, Halbert; Chalak, Karim; Lu, Xun - 2010

Persistent link: https://www.econbiz.de/10008666450

Granger causality and dynamic structural systems

White, Halbert; Lu, Xun - In: Journal of financial econometrics : official journal of … 8 (2010) 2, pp. 193-243

Persistent link: https://www.econbiz.de/10008652230

Causal diagrams for treatment effect estimation with application to efficient covariate selection

White, Halbert; Lu, Xun - In: The review of economics and statistics 93 (2011) 4, pp. 1453-1459

Persistent link: https://www.econbiz.de/10009380969

Granger causality and structural causality in cross-section and panel data

Lu, Xun; Su, Liangjun; White, Halbert - In: Econometric theory 33 (2017) 2, pp. 263-291

Persistent link: https://www.econbiz.de/10011665311

Determining individual or time effects in panel data models

Lu, Xun; Su, Liangjun - In: Journal of econometrics 215 (2020) 1, pp. 60-83

Persistent link: https://www.econbiz.de/10012439155

Jackknife Model Averaging for Quantile Regressions

Lu, Xun; Su, Liangjun - 2014

In this paper we consider the problem of frequentist model averaging for quantile regression (QR) when all the M models under investigation are potentially misspecified and the number of parameters in some or all models is diverging with the sample size n. To allow for the dependence between the...

Persistent link: https://www.econbiz.de/10014037147