Asymptotics for out of sample tests of Granger causality

DOI10.1016/j.jeconom.2006.07.020zbMath1247.91150MaRDI QIDQ451271

Michael W. McCracken

Publication date: 23 September 2012

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.020

zbMATH Keywords

model selection; hypothesis testing; Granger causality; forecast evaluation

Mathematics Subject Classification ID

91B84: Economic time series analysis

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