By Christian Gourieroux
This article introduces scholars steadily to varied elements of qualitative versions and assumes a data of uncomplicated rules of statistics and econometrics. After the advent, Chapters 2 via 6 current types with endogenous qualitative variables, studying dichotomous versions, version specification, estimation tools, descriptive utilization, and qualitative panel facts. the ultimate chapters describe versions that designate variables assumed by way of discrete or non-stop optimistic variables.
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Additional resources for Econometrics of Qualitative Dependent Variables
Explosive behavior in the 1990s Nasdaq: when did exuberance escalate asset values? Int. Econ. Rev. 52, 201–226 (2011) 33. : Gaussian and Non-Gaussian Linear Time Series and Random Fields. Springer, New York (2000) 34. : Web Money Gets Laundering Rule, The Wall Street Journal. com/news/articles/SB10001424127887324373204578374611351125202 (2013) 35. : Cyprus details heavy losses for major bank customers, Reuters. com/article/2013/03/30/us-cyprus-parliamentidUSBRE92G03I20130330 (2013) 36. : Bitcoin: A primer, Chicago Fed Letter.
Such a noncausal or mixed process has to be examined conditionally on the information of the current and past rates. It is known that a noncausal, linear autoregressive process also has a nonlinear causal autoregressive dynamics, except in the Gaussian case. This is the special nonlinear feature, which makes it suitable for modelling the bubbles in Bitcoin/USD exchange rate. Moreover the noncausal autoregressive model allows for forecasting the occurrence of a future bubble and the time of bubble burst.
There is clearly a need of supervision to better protect the investors in bitcoins against the theft of their bitcoins, but also against the 8 The French platform Bitcoin-Central has been closed for 5 months in 2013 due to hackers attack. Nevertheless the customers had still the possibility to withdraw their bitcoins. Noncausal Autoregressive Model in Application . . 39 speculative behavior of large bitcoin holders. This supervision will likely make disappear the previously observed speculative bubbles and perhaps the market for this electronic currency itself.